Cointegration Detection Using Dynamic Factor Models

DOI10.1080/03610910701723997zbMath1132.91596OpenAlexW1984402487MaRDI QIDQ5451124

Kosei Fukuda

Publication date: 18 March 2008

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701723997

zbMATH Keywords

model selectioncointegrationinformation criteriondynamic factor model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Economic time series analysis (91B84)

Cites Work

• Statistical analysis of cointegration vectors
• Finite sample properties of estimators for autoregressive moving average models
• Estimating the dimension of a model
• Editorial: Dynamic factor models
• Differentiating between coefficient break and volatility break
• Testing for Common Trends
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• COINTEGRATION AND COMMON FACTORS
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• A new look at the statistical model identification

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