Properties of Estimated Characteristic Roots
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References listed on IDEAS
- Søren Johansen, 2003.
"The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 24(6), pages 663-678, November.
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- Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(03), pages 485-508, June.
- Espasa, Antoni & Carlomagno, Guillermo, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de Estadística.
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Keywordsautoregression; characteristic root;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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