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~isPartOf:"Econometric reviews"
~isPartOf:"Journal of econometrics"
~subject:"Cointegration"
~subject:"VAR model"
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Phillips, Peter C. B.
6
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1
Modelling and forecasting government bond spreads in the euro area : a GVAR model
Favero, Carlo A.
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 343-356
Persistent link: https://www.econbiz.de/10010255139
Saved in:
2
Multistep ahead forecasting of vector time series
McElroy, Tucker
;
McCracken, Michael W.
- In:
Econometric reviews
36
(
2017
)
5
,
pp. 495-513
Persistent link: https://www.econbiz.de/10011795256
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3
The co-integrated vector autoregression with errors-in-variables
Bohn Nielsen, Heino
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 169-200
Persistent link: https://www.econbiz.de/10011549904
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4
Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco
;
Corsi, Fulvio
;
Filipova, Kameliya
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
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5
Residual-based tests for fractional cointegration : testing the term structure of interest rates
Zhang, Dayong
;
Barassi, Marco R.
;
Tan, Jijun
- In:
Econometric reviews
34
(
2015
)
6/10
,
pp. 1118-1140
Persistent link: https://www.econbiz.de/10011483452
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6
Testing for two-regime threshold cointegration in vector error-correction models
Hansen, Bruce E.
;
Seo, Byeongseon
- In:
Journal of econometrics
110
(
2002
)
2
,
pp. 293-318
Persistent link: https://www.econbiz.de/10001703515
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7
Nonparametric cointegration analysis of fractional systems with unknown integration orders
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
155
(
2010
)
2
,
pp. 170-187
Persistent link: https://www.econbiz.de/10003966977
Saved in:
8
Intelligible factors for the yield curve
Lengwiler, Yvan
;
Lenz, Carlos
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 481-491
Persistent link: https://www.econbiz.de/10008662977
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9
Forecasting the yield curve in a data-rich environment : a no-arbitrage factor-augmented VAR approach
Mönch, Emanuel
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 26-43
Persistent link: https://www.econbiz.de/10003778196
Saved in:
10
Trend stationarity in the I(2) cointegration model
Rahbek, Anders
;
Kongsted, Hans Christian
;
Jørgensen, …
- In:
Journal of econometrics
90
(
1999
)
2
,
pp. 265-289
Persistent link: https://www.econbiz.de/10001382131
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