Properties of etimated 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.
- Soren JOHANSEN, 2001. "The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model," Economics Working Papers ECO2001/01, European University Institute.
- Pantula, Sastry G., 1989. "Testing for Unit Roots in Time Series Data," Econometric Theory, Cambridge University Press, vol. 5(02), pages 256-271, August.
- Clive W. J. Granger & Yongil Jeon, 2006. "Dynamics of Model Overfitting Measured in terms of Autoregressive Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 347-365, May.
- Wymer, C R, 1972. "Econometric Estimation of Stochastic Differential Equation Systems," Econometrica, Econometric Society, vol. 40(3), pages 565-577, May.
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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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