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Estimating cointegrated systems using subspace algorithms

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Bauer, Dietmar
Wagner, Martin

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 111 (2002)
Issue (Month): 1 (November)
Pages: 47-84
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Handle: RePEc:eee:econom:v:111:y:2002:i:1:p:47-84

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation, Yale University. [Downloadable!]
  2. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November. [Downloadable!] (restricted)
  3. Wagner, Martin, 1999. "Bierens' and Johansen's Method - Complements or Substitutes?," Economics Series 74, Institute for Advanced Studies. [Downloadable!]
  4. Lutkepohl, Helmut & Saikkonen, Pentti, 1997. "Impulse response analysis in infinite order cointegrated vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 127-157, November. [Downloadable!] (restricted)
    Other versions:
  5. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  6. repec:cup:etheor:v:8:y:1992:i:1:p:1-27 is not listed on IDEAS
  7. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April. [Downloadable!] (restricted)
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  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
  9. Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies. [Downloadable!]
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  1. Bauer, Dietmar & Wagner, Martin, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Series 174, Institute for Advanced Studies. [Downloadable!]
    Other versions:
  2. Segismundo Izquierdo & Ces�reo Hern�ndez & Javier Pajares, 2005. "State Space Modelling of Cointegrated Systems using Subspace Algorithms," Econometrics 0509010, EconWPA, revised 07 Feb 2006. [Downloadable!]
  3. Martin Wagner, 2008. "On PPP, unit roots and panels," Empirical Economics, Springer, vol. 35(2), pages 229-249, September. [Downloadable!] (restricted)
    Other versions:
  4. Alfredo García-Hiernaux & José Casals & Miguel Jerez, 2007. "Detección de raíces unitarias y cointegración mediante métodos de subespacios," Revista Colombiana de Estadística, REVISTA COLOMBIANA DE ESTADISTICA. [Downloadable!]
  5. Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    Other versions:
  6. Dietmar Bauer & Martin Wagner, 2003. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0312, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
    Other versions:
  7. Dietmar Bauer & Martin Wagner, 2002. "Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes," Diskussionsschriften dp0205, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
  8. Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  9. Izquierdo, Segismundo S. & Hernández, Cesáreo & del Hoyo, Juan, 2006. "Forecasting VARMA processes using VAR models and subspace-based state space models," MPRA Paper 4235, University Library of Munich, Germany. [Downloadable!]
  10. Dietmar Bauer & Martin Wagner, 2003. "The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study," Diskussionsschriften dp0308, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
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