Inference for the VEC(1) model with a heavy-tailed linear process errors*

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
The Adaptive Lasso and Its Oracle Properties
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
A specification test for nonlinear nonstationary models
Subset ARMA selection via the adaptive Lasso
Limit theory for moving averages of random variables with regularly varying tail probabilities
Limit theory for the sample covariance and correlation functions of moving averages
Asymptotics for linear processes
Parameter estimation for ARMA models with infinite variance innovations
Whittle parameter estimation for vector ARMA models with heavy-tailed noises
Inference in heavy-tailed vector error correction models
CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS
ASYMPTOTIC INFERENCE FOR AR MODELS WITH HEAVY-TAILED G-GARCH NOISES
Estimation for Partially Nonstationary Multivariate Autoregressive Models
Point processes, regular variation and weak convergence
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
Co-Integration and Error Correction: Representation, Estimation, and Testing
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
Automated Estimation of Heavy-Tailed Vector Error Correction Models
Regression coefficient and autoregressive order shrinkage and selection via the lasso
Identifying Cointegration by Eigenanalysis
AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS
Model Selection and Estimation in Regression with Grouped Variables
Inference in Heavy-Tailed Nonstationary Multivariate Time Series

This page was built for publication: Inference for the VEC(1) model with a heavy-tailed linear process errors*