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Small sample adjustment for hypotheses testing on cointegrating vectors

Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85

Persistent link: https://www.econbiz.de/10013260145

The analysis of nonstationary time series using regression, correlation and cointegration

Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57

There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse …

Persistent link: https://www.econbiz.de/10009767620

High frequency and dynamic pairs trading based on statistical arbitrage using a two-stage correlation and cointegration approach

Miao, George J. - In: International journal of economics and finance 6 (2014) 3, pp. 96-110

Persistent link: https://www.econbiz.de/10010339601

A covariate residual-based cointegration test applied to the CDS-bond basis

Game, Aaron; Wu, Jason - In: Journal of time series econometrics 5 (2013) 2, pp. 163-192

Persistent link: https://www.econbiz.de/10010225442

Codependent VAR models and the pseudo-structural form

Trenkler, Carsten; Weber, Enzo - 2012

variables eliminates the serial correlation after q lags. Importantly, maximum likelihood estimation and likelihood ratio …

Persistent link: https://www.econbiz.de/10011489949

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short-run dynamics. We distinguish between strong and...

Persistent link: https://www.econbiz.de/10011398127