Extreme Spectra of Var Models and Orders of Near‐Cointegration

DOI10.1111/j.1467-9892.2004.00408.xzbMath1092.62095OpenAlexW1969816357MaRDI QIDQ5467610

G. A. Chronis, Evangelos E. Ioannidis

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.00408.x

zbMATH Keywords

coherencecross-spectrumbivariate autoregression model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

Spectra of bivariate \(\mathrm{VAR}(p)\) models ⋮ Identification robust inference in cointegrating regressions

Cites Work

• Limiting power of unit-root tests in time-series regression
• Non-stationary log-periodogram regression
• Local asymptotic distribution related to the AR(1) model with dependent errors
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• The adequacy of asymptotic approximations in the near-integrated autoregressive model with dependent errors
• HOW TO ESTIMATE AUTOREGRESSIVE ROOTS NEAR UNITY
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Cointegration in frequency domain
• ASYMPTOTIC INFERENCE FOR NEARLY UNSTABLE AR(p) PROCESSES
• Time Series
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