VAR Cointegration in VARMA Models
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References listed on IDEAS
- Ronald Bewley & Minxian Yang, 1998.
"On The Size And Power Of System Tests For Cointegration,"
The Review of Economics and Statistics,
MIT Press, pages 675-679.
- Bewley, R. & Yang, M., 1996. "On the Size and Power of System Tests for Cointegration," Papers 96/9, New South Wales - School of Economics.
- Podivinsky, Jan M., 1998. "Testing misspecified cointegrating relationships," Economics Letters, Elsevier, vol. 60(1), pages 1-9, July.
- Toda, Hiro Y., 1995. "Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1015-1032, October.
- Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April.
- Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bauer, Dietmar & Wagner, Martin, 2002.
"Estimating cointegrated systems using subspace algorithms,"
Journal of Econometrics,
Elsevier, pages 47-84.
- Dietmar Bauer & Martin Wagner, 2000. "Estimating Cointegrated Systems Using Subspace Algorithms," Econometric Society World Congress 2000 Contributed Papers 0293, Econometric Society.
- Wu, Chung-Shu & Lin, Jin-Lung & Tiao, George C. & Cho, David D., 2005. "Is money demand in Taiwan stable?," Economic Modelling, Elsevier, vol. 22(2), pages 327-346, March.
- Martin Wagner, 2004.
"A Comparison of Johansen's, Bierens' and the Subspace Algorithm Method for Cointegration Analysis,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 66(3), pages 399-424, July.
- Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft.
- Segismundo Izquierdo & Cesï¿½reo Hernï¿½ndez & Javier Pajares, 2005. "State Space Modelling of Cointegrated Systems using Subspace Algorithms," Econometrics 0509010, EconWPA, revised 07 Feb 2006.
More about this item
KeywordsCointegration; Johansen procedure; Misspecification; Robustness; Simulation; Hausdorff distance;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: 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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