Optimal Pseudo-Gaussian and Rank-Based Tests of the Cointegrating Rank in Semiparametric Error-Correction Models

SSRN Electronic Journal ◽

10.2139/ssrn.2320810 ◽

2013 ◽

Author(s):

Marc Hallin ◽

Ramon Van den Akker ◽

Bas J. M. Werker

Keyword(s):

Error Correction ◽

Error Correction Models

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Likelihood-Based Inference in Nonlinear Error-Correction Models

SSRN Electronic Journal ◽

10.2139/ssrn.1089287 ◽

2007 ◽

Author(s):

Anders Rahbek ◽

Dennis Kristensen

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Nonlinear Error

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Comparison of Error Correction Models and First-Difference Models in CCAR Deposits Modeling

SSRN Electronic Journal ◽

10.2139/ssrn.3013799 ◽

2017 ◽

Author(s):

Zi-Yi Guo

Keyword(s):

Error Correction ◽

Error Correction Models

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Optimal Pseudo-Gaussian and Rank-Based Tests of the Cointegration Rank in Semiparametric Error-Correction Models

SSRN Electronic Journal ◽

10.2139/ssrn.2547432 ◽

2015 ◽

Author(s):

Marc Hallin ◽

Ramon Van den Akker ◽

Bas J. M. Werker

Keyword(s):

Error Correction ◽

Error Correction Models

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Modeling Multivariate Time Series by Vector Error Correction Models (VECM) (Study: PT Kalbe Farma Tbk. and PT Kimia Farma (Persero) Tbk)

Journal of Physics Conference Series ◽

10.1088/1742-6596/1751/1/012013 ◽

2021 ◽

Vol 1751 ◽

pp. 012013

Author(s):

L Loves ◽

M Usman ◽

Warsono ◽

Widiarti ◽

E Russel

Keyword(s):

Time Series ◽

Error Correction ◽

Multivariate Time Series ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Vector Error Correction Models

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Testing for two-regime threshold cointegration in vector error-correction models

Journal of Econometrics ◽

10.1016/s0304-4076(02)00097-0 ◽

2002 ◽

Vol 110 (2) ◽

pp. 293-318 ◽

Author(s):

Bruce E. Hansen ◽

Byeongseon Seo

Keyword(s):

Error Correction ◽

Threshold Cointegration ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Vector Error Correction Models

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Stochastic search variable selection in vector error correction models with an application to a model of the UK macroeconomy

Journal of Applied Econometrics ◽

10.1002/jae.1238 ◽

2011 ◽

Vol 28 (1) ◽

pp. 62-81 ◽

Author(s):

Markus Jochmann ◽

Gary Koop ◽

Roberto Leon-Gonzalez ◽

Rodney W. Strachan

Keyword(s):

Variable Selection ◽

Error Correction ◽

Stochastic Search ◽

Error Correction Models ◽

Vector Error Correction ◽

Stochastic Search Variable Selection ◽

Vector Error ◽

The Uk ◽

Vector Error Correction Models ◽

Search Variable

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Bias assessment and reduction in linear error-correction models

Journal of Econometrics ◽

10.1016/0304-4076(93)01566-5 ◽

1994 ◽

Vol 63 (1) ◽

pp. 215-243 ◽

Author(s):

Jan F. Kiviet ◽

Garry D.A. Phillips

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Bias Assessment

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On the dynamic shape of aggregated error correction models

Journal of Economic Dynamics and Control ◽

10.1016/0165-1889(88)90056-5 ◽

1988 ◽

Vol 12 (2-3) ◽

pp. 561-585 ◽

Author(s):

Marco Lippi

Keyword(s):

Error Correction ◽

Error Correction Models ◽

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Error correction models and regressions for non-cointegrated variables

SSRN Electronic Journal ◽

10.2139/ssrn.3902889 ◽

2021 ◽

Author(s):

Moawia Alghalith

Keyword(s):

Error Correction ◽

Error Correction Models

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Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2010.08.005 ◽

2011 ◽

Vol 55 (2) ◽

pp. 1008-1017 ◽

Author(s):

Christian Kascha ◽

Carsten Trenkler

Keyword(s):

Error Correction ◽

Likelihood Ratio ◽

Cointegration Test ◽

Error Correction Models

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