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Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

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Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - In: A companion to economic forecasting, (pp. 179-205). 2002

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Forecasting with VARMA models

Lütkepohl, Helmut (contributor) - 2004 - [Elektronische Ressource]

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Analysis of integrated and cointegrated time series with R

Pfaff, Bernhard - 2006

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Forecasting with VARMA models

Lütkepohl, Helmut - 2006

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Studying co-movements in large multivariate models without multivariate modelling

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Analysis of integrated and cointegrated time series with R

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Studying co-movements in large multivariate data prior to multivariate modelling

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Ten things we should know about time series

McAleer, Michael; Oxley, Les - 2010

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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013

We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...

Persistent link: https://www.econbiz.de/10009743847