Cointegration Rank Estimation for High-Dimensional Time Series With Breaks

Cites Work

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Regularized estimation in sparse high-dimensional time series models
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point
Diagnostic testing for cointegration
Factor modeling for high-dimensional time series: inference for the number of factors
Semiparametric inference in multivariate fractionally cointegrated systems
Testing for cointegration using principal components methods
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Weak convergence of multivariate fractional processes
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Cointegration tests in the presence of structural breaks
Inferential theory for heterogeneity and cointegration in large panels
Semiparametric estimation of fractional cointegrating subspaces
Low-frequency robust cointegration testing
Cointegration analysis in the presence of structural breaks in the deterministic trend
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Optimal Inference in Cointegrated Systems
Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Alternative Asymptotics for Cointegration Tests in Large VARs
Co-Integration and Error Correction: Representation, Estimation, and Testing
Factor Model Forecasts of Exchange Rates
Testing for Trends in High-Dimensional Time Series
Identifying Cointegration by Eigenanalysis
Cointegration in Fractional Systems with Unknown Integration Orders
Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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