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Maximum likelihood estimation of time-varying loadings in high-dimensional factor models
Mikkelsen, Jakob Guldbæk; Hillebrand, Eric; Urga, Giovanni - 2015
Persistent link: https://www.econbiz.de/10011409357
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Consistent estimation of time-varying loadings in high-dimensional factor models
Mikkelsen, Jakob Guldbæk; Hillebrand, Eric; Urga, Giovanni - In: Journal of econometrics 208 (2019) 2, pp. 535-562
Persistent link: https://www.econbiz.de/10012145182
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A Bartlett correction factor for tests on the cointegrating relations
Johansen, Søren - In: Econometric theory 16 (2000) 5, pp. 740-778
Persistent link: https://www.econbiz.de/10001533173
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A small sample correction for tests of hypotheses on the cointegrating vectors
Johansen, Søren - 1999
Persistent link: https://www.econbiz.de/10001389411
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A Bartlett correction factor for tests on the cointegrating relations
Johansen, Søren - 1999
Persistent link: https://www.econbiz.de/10001389415
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A small sample correction for tests of hypotheses on the cointegrating vectors
Johansen, Søren - In: Journal of econometrics 111 (2002) 2, pp. 195-221
Persistent link: https://www.econbiz.de/10001715741
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A small sample correction of the Dickey-Fuller test
Johansen, Søren - In: New directions in macromodelling, (pp. 49-68). 2004
Persistent link: https://www.econbiz.de/10002717320
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A small sample correction of the test for cointegrating rank in the vector autoregressive model
Johansen, Søren - 2000
Persistent link: https://www.econbiz.de/10001541067
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Likelihood analysis of seasonal cointegration
Johansen, Søren; Schaumburg, Ernst - 1997
Persistent link: https://www.econbiz.de/10000974039
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A small sample correction for the test of cointegrating rank in the vector autoregressive model
Johansen, Søren - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 1929-1961
Persistent link: https://www.econbiz.de/10001702250