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The granger non-causality test in cointegrated vector autoregressions
Chigira, Hiroaki (contributor); Yamamoto, Taku (contributor) - 2003
Persistent link: https://www.econbiz.de/10002530560
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Forecasting in large cointegrated processes
Chigira, Hiroaki; Yamamoto, Taku - In: Journal of forecasting 28 (2009) 7, pp. 631-650
Persistent link: https://www.econbiz.de/10003902236
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The effect of estimating parameters on long-term forecasts for cointegrated systems
Chigira, Hiroaki; Yamamoto, Taku - In: Journal of forecasting 31 (2012) 4, pp. 344-360
Persistent link: https://www.econbiz.de/10009576371
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Cointegration, integration, and long-term forecasting
Chigira, Hiroaki (contributor); Yamamoto, Taku (contributor) - 2006
Persistent link: https://www.econbiz.de/10003316703
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A test of serial independence of deviations from cointegrating relations
Chigira, Hiroaki (contributor) - 2005
Persistent link: https://www.econbiz.de/10003080697
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A test of serial independence of deviations from cointegrating relations
Chigira, Hiroaki - In: Economics letters 92 (2006) 1, pp. 52-57
Persistent link: https://www.econbiz.de/10003336506
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A test of cointegration rank based on principal component analysis
Chigira, Hiroaki (contributor) - 2005
Persistent link: https://www.econbiz.de/10003206139
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A test of cointegration rank based on principal component analysis
Chigira, Hiroaki - In: Applied economics letters 15 (2008) 7/9, pp. 693-696
Persistent link: https://www.econbiz.de/10003741632
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Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
Arai, Yoichi; Yamamoto, Taku - In: Economics letters 67 (2000) 3, pp. 261-271
Persistent link: https://www.econbiz.de/10001473663
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Modified lag augmented vector autoregressions
Kurozumi, Eiji; Yamamoto, Taku - In: Econometric reviews 19 (2000) 2, pp. 207-231
Persistent link: https://www.econbiz.de/10001483709