Infinite-Order Cointegrated Vector Autoregressive Processes

Citations

Cited by:

1. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
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   • Tommaso Proietti & Alessandro Giovannelli, 2017. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CREATES Research Papers 2017-20, Department of Economics and Business Economics, Aarhus University.
   • Tommaso Proietti & Alessandro Giovannelli, 2017. "A Durbin-Levinson Regularized Estimator of High Dimensional Autocovariance Matrices," CEIS Research Paper 410, Tor Vergata University, CEIS, revised 19 Jul 2017.
3. Mauricio, Jose Alberto, 2006. "Exact maximum likelihood estimation of partially nonstationary vector ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3644-3662, August.
4. Bauer, Dietmar & Wagner, Martin, 2002. "Estimating cointegrated systems using subspace algorithms," Journal of Econometrics, Elsevier, vol. 111(1), pages 47-84, November.
   • Dietmar Bauer & Martin Wagner, 2000. "Estimating Cointegrated Systems Using Subspace Algorithms," Econometric Society World Congress 2000 Contributed Papers 0293, Econometric Society.
5. Walter Krämer, 2019. "Interview mit Helmut Lütkepohl," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 13(1), pages 87-94, April.
6. Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016. "Testing for Granger causality with mixed frequency data," Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
   • Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2013. "Testing for Granger Causality with Mixed Frequency Data," CEPR Discussion Papers 9655, C.E.P.R. Discussion Papers.
7. Søren Johansen, 2019. "Cointegration and Adjustment in the CVAR(∞) Representation of Some Partially Observed CVAR(1) Models," Econometrics, MDPI, vol. 7(1), pages 1-10, January.
8. Yuanyuan Li & Dietmar Bauer, 2020. "Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size," Econometrics, MDPI, vol. 8(3), pages 1-28, September.
9. Johansen, Søren & Juselius, Katarina, 2014. "An asymptotic invariance property of the common trends under linear transformations of the data," Journal of Econometrics, Elsevier, vol. 178(P2), pages 310-315.
10. Zernov, Serguei & Zinde-Walsh, Victoria & Galbraith, John W., 2009. "Asymptotics for estimation of quantile regressions with truncated infinite-dimensional processes," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 497-508, March.
11. Maynard, Alex & Shimotsu, Katsumi, 2009. "Covariance-Based Orthogonality Tests For Regressors With Unknown Persistence," Econometric Theory, Cambridge University Press, vol. 25(1), pages 63-116, February.
    • Katsumi Shimotsu & Alex Maynard, 2004. "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 North American Summer Meetings 536, Econometric Society.
    • Katsumi Shimotsu & Alex Maynard, 2004. "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 Far Eastern Meetings 518, Econometric Society.
    • Alex Maynard & Katsumi Shimotsu, 2007. "Covariance-based Orthogonality Tests For Regressors With Unknown Persistence," Working Paper 1122, Economics Department, Queen's University.
12. Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
13. Hafner, Christian M. & Linton, Oliver B. & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," Journal of Econometrics, Elsevier, vol. 217(2), pages 431-470.
    • Hafner, C. & Linton, O. & Tang, H., 2018. "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1878, Faculty of Economics, University of Cambridge.
    • Hafner, Christian & Linton, Oliver & Tang, Haihan, 2020. "Estimation of a multiplicative correlation structure in the large dimensional case," LIDAM Reprints ISBA 2020028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
14. Lutkepohl, Helmut & Saikkonen, Pentti, 1999. "A lag augmentation test for the cointegrating rank of a VAR process," Economics Letters, Elsevier, vol. 63(1), pages 23-27, April.
15. Dan Lupu & Mihai Bogdan Petrisor & Ana Bercu & Mihaela Tofan, 2018. "The Impact of Public Expenditures on Economic Growth: A Case Study of Central and Eastern European Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(3), pages 552-570, February.
16. Qu, Zhongjun & Perron, Pierre, 2007. "A Modified Information Criterion For Cointegration Tests Based On A Var Approximation," Econometric Theory, Cambridge University Press, vol. 23(4), pages 638-685, August.
    • Zhongjun Qu & Pierre Perron, 2006. "A Modified Information Criterion for Cointegration Tests based on a VAR Approximation," Boston University - Department of Economics - Working Papers Series WP2006-011, Boston University - Department of Economics.
17. Georg Lehecka, 2015. "Do hedging and speculative pressures drive commodity prices, or the other way round?," Empirical Economics, Springer, vol. 49(2), pages 575-603, September.
18. Linton, O. & Tang, H., 2020. "Estimation of the Kronecker Covariance Model by Quadratic Form," Cambridge Working Papers in Economics 2050, Faculty of Economics, University of Cambridge.
19. Onatski, Alexei & Uhlig, Harald, 2012. "Unit Roots In White Noise," Econometric Theory, Cambridge University Press, vol. 28(3), pages 485-508, June.
    • Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany.
    • Harald Uhlig & Alexei Onatski, 2009. "Unit Roots in White Noise," Working Papers 2009-004, Becker Friedman Institute for Research In Economics.
20. Marais, E. & Bates, S., 2006. "An empirical study to identify shift contagion during the Asian crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 468-479, December.
    • Samuel Bates & Elise Marais, 2006. "An empirical study to identify shift contagion during the Asian crisis," Post-Print hal-02136530, HAL.
    • Elise Marais & Samuel Bates, 2006. "An empirical study to identify shift contagion during the Asian crisis," Post-Print hal-01288429, HAL.
21. Demetrescu Matei, 2009. "Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-30, December.
22. Hafner, C. M. & Linton, O., 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," Cambridge Working Papers in Economics 1664, Faculty of Economics, University of Cambridge.
    • HAFNER, Christian & LINTON, Oliver B. & TANG, Haihan, 2016. "Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case," LIDAM Discussion Papers CORE 2016044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Christian M. Hafner & Oliver Linton & Haihan Tang, 2016. "Estimation of a multiplicative covariance structure in the large dimensional case," CeMMAP working papers CWP52/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
23. Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
24. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
    • Helmut Luetkepohl, 2011. "Vector Autoregressive Models," Economics Working Papers ECO2011/30, European University Institute.
25. Franchi, Massimo, 2018. "Testing for cointegration in I(1) state space systems via a finite order approximation," Economics Letters, Elsevier, vol. 165(C), pages 73-76.
26. Amine Ben Amar & Néjib Hachicha & Nihel Halouani, 2021. "Is there a shift contagion among stock markets during the COVID-19 crisis? Further insights from TYDL causality test," International Review of Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 188-209, March.
27. Judith A. Clarke & Sadaf Mirza, 2003. "Some Finite Sample Results On Testing For Granger Noncausality," Econometrics Working Papers 0305, Department of Economics, University of Victoria.
28. Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
29. Serguei Zernov & Victoria Zindle-Walsh & John Galbraith, 2006. "Asymptotics For Estimation Of Truncated Infinite-Dimensional Quantile Regressions," Departmental Working Papers 2006-16, McGill University, Department of Economics.
30. Søren Johansen & Morten Nyboe Tabor, 2017. "Cointegration between Trends and Their Estimators in State Space Models and Cointegrated Vector Autoregressive Models," Econometrics, MDPI, vol. 5(3), pages 1-15, August.
31. 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.
    • Lütkepohl, H. & Saikkonen, P., 1995. "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," SFB 373 Discussion Papers 1995,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.