Automated Estimation of Heavy-Tailed Vector Error Correction Models

Statistica Sinica ◽

10.5705/ss.202020.0177 ◽

2023 ◽

Author(s):

Feifei Guo ◽

Shiqing Ling ◽

Zichuan Mi

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Heavy Tailed ◽

Vector Error Correction Models

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Inference in heavy-tailed vector error correction models

Journal of Econometrics ◽

10.1016/j.jeconom.2019.03.008 ◽

2020 ◽

Vol 214 (2) ◽

pp. 433-450

Author(s):

Rui She ◽

Shiqing Ling

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Heavy Tailed ◽

Vector 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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Determination of vector error correction models in high dimensions

Journal of Econometrics ◽

10.1016/j.jeconom.2018.09.018 ◽

2019 ◽

Vol 208 (2) ◽

pp. 418-441 ◽

Author(s):

Chong Liang ◽

Melanie Schienle

Keyword(s):

Error Correction ◽

High Dimensions ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Vector Error Correction Models

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Data-based priors for vector error correction models

International Journal of Forecasting ◽

10.1016/j.ijforecast.2021.10.007 ◽

2021 ◽

Author(s):

Jan Prüser

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Vector Error Correction Models

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Vector Error Correction Models

New Introduction to Multiple Time Series Analysis ◽

10.1007/978-3-540-27752-1_6 ◽

2005 ◽

pp. 237-267 ◽

Author(s):

Helmut Lütkepohl

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Vector Error Correction Models

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Estimation of Vector Error Correction Models

New Introduction to Multiple Time Series Analysis ◽

10.1007/3-540-27752-8_7 ◽

2005 ◽

pp. 269-324

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Vector Error Correction Models

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Residual autocorrelation testing for vector error correction models

Journal of Econometrics ◽

10.1016/j.jeconom.2005.07.006 ◽

2006 ◽

Vol 134 (2) ◽

pp. 579-604 ◽

Author(s):

Ralf Brüggemann ◽

Helmut Lütkepohl ◽

Pentti Saikkonen

Keyword(s):

Error Correction ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Vector Error Correction Models

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Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models

Journal of Business and Economic Statistics ◽

10.1198/073500103288618972 ◽

2003 ◽

Vol 21 (2) ◽

pp. 295-318 ◽

Author(s):

Jan J. J Groen ◽

Frank Kleibergen

Keyword(s):

Error Correction ◽

Cointegration Analysis ◽

Error Correction Models ◽

Vector Error Correction ◽

Vector Error ◽

Vector Error Correction Models

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