Using subspace algorithm cointegration analysis: simulation performance and application to the term structure

DOI10.1016/j.csda.2008.10.039zbMath1453.62039OpenAlexW2035690211MaRDI QIDQ961388

Dietmar Bauer, Martin Wagner

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.10.039

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (3)

Cointegration analysis with state space models ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study

Cites Work

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• Fully Modified Least Squares and Vector Autoregression
• An equilibrium characterization of the term structure
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS

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