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856
Statistical Analysis of Cointegrated Vectors
 Journal of Economic Dynamics and Control
, 1988
"... We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimen ..."
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Cited by 2749 (12 self)
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We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number
A Simple Estimator of Cointegrating Vectors in Higher Order Cointegrated Systems
 ECONOMETRICA
, 1993
"... Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions. T ..."
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Cited by 524 (3 self)
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Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald Statistics constructed from these estimators have asymptotic x2 distributions
The Macroeconometrics of the Cointegrated Vector Autoregression
, 2007
"... Abstract: An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo’s famous “Probability Approach in Econometrics” (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and th ..."
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Abstract: An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo’s famous “Probability Approach in Econometrics” (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference
Cointegrated Vector Autoregressive Systems
, 2009
"... The problem of portfolio choice is an example of sequential decision making under uncertainty. Investors must consider their attitudes towards risk and reward in face of an unknown future, in order to make complex financial choices. Often, mathematical models of investor preferences and asset retur ..."
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variance optimal (MVO) portfolio selection, and that the logprices of the assets evolve according a simple linear system known as a cointegrated vector autoregressive (VAR) process. While MVO portfolio choice remains the most popular formulation for singlestage asset allocation problems in both academia
Estimating Restricted Cointegrating Vectors
 Journal of Business and Economic Statistics
, 2000
"... 1 ..."
Some identification problems in the cointegrated vector autoregressive model
 Journal of Econometrics
, 2010
"... Some identi
cation problems in the cointegrated vector autoregressive model ..."
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Cited by 2 (0 self)
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Some identi
cation problems in the cointegrated vector autoregressive model
Testing for cointegration when some of the cointegrating vectors are prespecified, Econometric Theory
, 1995
"... Many economic models imply that ratios, simple differences, or "spreads " of variables are I(O). In these models, cointegrating vectors are composed of l's, O's, and l's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied ..."
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Cited by 78 (1 self)
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Many economic models imply that ratios, simple differences, or "spreads " of variables are I(O). In these models, cointegrating vectors are composed of l's, O's, and l's and contain no unknown parameters. In this paper, we develop tests for cointegration that can
Likelihood inference for a fractionally cointegrated vector autoregressive model
 Econometrica
, 2012
"... Likelihood inference for a fractionally cointegrated vector autoregressive model ..."
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Cited by 3 (1 self)
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Likelihood inference for a fractionally cointegrated vector autoregressive model
THE WALDTYPE TEST OF A NORMALIZATION OF COINTEGRATING VECTORS
"... This paper proposes a test for the normalization of cointegrating vectors. Our test is constructed using the unrestricted maximum likelihood estimator and then it may be seen as a Waldtype test. The test statistic is shown to be asymptotically bounded above by a chisquare distribution with one deg ..."
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This paper proposes a test for the normalization of cointegrating vectors. Our test is constructed using the unrestricted maximum likelihood estimator and then it may be seen as a Waldtype test. The test statistic is shown to be asymptotically bounded above by a chisquare distribution with one
Testing on Cointegrating Vectors CAES Working Paper Series A SignaltoNoise Ratio for Hypothesis Testing on Cointegrating Vectors
, 2009
"... This note investigates impacts of a signaltonoise ratio on
nitesample inference for cointegrating vectors. The ratio is de
ned as a measure of the magnitude of a permanent shock relative to a transitory shock. Monte Carlo experiments show that a high signaltonoise ratio tends to reduce size di ..."
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This note investigates impacts of a signaltonoise ratio on
nitesample inference for cointegrating vectors. The ratio is de
ned as a measure of the magnitude of a permanent shock relative to a transitory shock. Monte Carlo experiments show that a high signaltonoise ratio tends to reduce size
Results 1  10
of
856