Search Results - subject:"trace statistic"

Extreme canonical correlations and high-dimensional cointegration analysis

Onatski, Alexei; Wang, Chen - 2017

Persistent link: https://www.econbiz.de/10012667643

A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013

In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the...

Persistent link: https://www.econbiz.de/10010903767

A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013

Persistent link: https://www.econbiz.de/10011228054

Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2012

In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates...

Persistent link: https://www.econbiz.de/10010851226

Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - Økonomisk Institut, Københavns Universitet - 2012

Persistent link: https://www.econbiz.de/10010569130

Bootstrap determination of the co-integration rank in VAR models

Cavaliere, Giuseppe; Rahbek, Anders; Robert, Taylor A.M. - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2011

This paper discusses a consistent bootstrap implementation of the likelihood ratio [LR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates of the underlying VAR model...

Persistent link: https://www.econbiz.de/10011228031

Essays on panel cointegration testing

Karaman Örsal, Deniz Dilan - 2009

moments of the asymptotic trace statistic. The proof is corrected for the case, in which the difference between the number of …

Persistent link: https://www.econbiz.de/10009467014

On the existence of the moments of the asymptotic trace statistic

Örsal, Deniz Dilan Karaman; Droge, Bernd - 2009

In this note we establish the existence of the first two moments of the asymptotic trace statistic, which appears as … these moments by simulating a certain statistic, which converges weakly to the asymptotic trace statistic. To accomplish … this we show that the moments of the mentioned statistic converge to those of the asymptotic trace statistic as the time …

Persistent link: https://www.econbiz.de/10010263761

On the Existence of the Moments of the Asymptotic Trace Statistic

Örsal, Deniz Dilan Karaman; Droge, Bernd - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Persistent link: https://www.econbiz.de/10005489952