Inference in heavy-tailed vector error correction models
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DOI: 10.1016/j.jeconom.2019.03.008
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Cited by:
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2024.
"Inference in Heavy-Tailed Nonstationary Multivariate Time Series,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 119(545), pages 565-581, January.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2021. "Inference in heavy-tailed non-stationary multivariate time series," Papers 2107.13894, arXiv.org.
- Matteo Barigozzi & Giuseppe Cavaliere & Lorenzo Trapani, 2020. "Determining the rank of cointegration with infinite variance," Discussion Papers 20/01, University of Nottingham, Granger Centre for Time Series Econometrics.
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More about this item
Keywords
Full rank LSE; Cointegration; Heavy-tailed random vector; Reduced rank LSE;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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