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partialCI : an R package for the analysis of partially cointegrated time series
Clegg, Matthew; Krauss, Christopher; Rende, Jonas - In: Essays on financial time series analysis, (pp. 13-45). 2019
Partial cointegration is a weakening of cointegration, allowing for the residual series to contain a mean-reverting and …, but can be modeled with partial cointegration. …
Persistent link: https://www.econbiz.de/10012321317
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Finite sample forecast properties and window length under breaks in cointegrated systems
Nocciola, Luca - In: Essays in honor of M. Hashem Pesaran : prediction and …, (pp. 167-196). 2022
Persistent link: https://www.econbiz.de/10013201853
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Non-stationary parametric single-index predictive models : simulation and empirical studies
Zhou, Ying; Kew, Hsein; Gao, Jiti - In: Essays in honor of Joon Y. Park : econometric theory, (pp. 349-365). 2023
Persistent link: https://www.econbiz.de/10014313764
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Testing for two-step Granger noncausality in trivariate VAR models
Giles, Judith A. - In: Handbook of applied econometrics and statistical inference, (pp. 371-399). 2002
Persistent link: https://www.econbiz.de/10001701983
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Vector autoregressive model and analysis
Akkaya, Murat - In: Handbook of research on emerging theories, models, and …, (pp. 197-214). 2021
The aim of this study is to explain vector autoregressive (VAR) models and Granger causality. VAR is an econometric model that generalizes univariate autoregressive (AR) models. VAR is a regression model that can be considered as a kind of hybrid among univariate time series models. VAR models...
Persistent link: https://www.econbiz.de/10012604209
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Threshold error correction model : a methodological overview
Gałecki, Maciej; Osińska, Magdalena - In: Economic miracles in the European economies, (pp. 151-173). 2019
Persistent link: https://www.econbiz.de/10012061203
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On the size distortion from linearly interpolating low-frequency series for cointegration tests
Ghysels, Eric; Miller, J. Isaac - In: Essays in honor of Peter C. B. Phillips, (pp. 93-122). 2014
Persistent link: https://www.econbiz.de/10010442875
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Unit roots and cointegration
Smeekes, Stephan; Wijler, Etienne - In: Macroeconomic forecasting in the era of big data : …, (pp. 541-584). 2020
In this chapter we investigate how the possible presence of unit roots and cointegration affects forecasting with Big … and cointegration is of paramount importance for macroeconomic forecasting. The high-dimensional nature of Big Data … complicates the analysis of unit roots and cointegration in two ways. First, transformations to stationarity require performing …
Persistent link: https://www.econbiz.de/10012160036
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Low-frequency econometrics
Müller, Ulrich K.; Watson, Mark W. - 2017
Persistent link: https://www.econbiz.de/10011901897
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Testing for unit roots and cointegration in spatial cross-section data
Beenstock, Michael; Feldman, Dan; Felzenshtain, Daniyel - In: Spatial economic analysis : the journal of the Regional … 7 (2012) 2, pp. 203-222
Persistent link: https://www.econbiz.de/10009581206