Li Y, Bauer D. Modeling I(2) Processes Using Vector Autoregressions Where the Lag Length Increases with the Sample Size. Econometrics. 2020;8(3): 38.In this paper the theory on the estimation of vector autoregressive (VAR) models for I(2)processes is extended to the case of long VAR approximation of more general processes. Hereby theorder of the autoregression is allowed to tend to infinity at a certain rate depending on the samplesize. We deal with unrestricted OLS estimators (in the model formulated in levels as well as in vectorerror correction form) as well as with two stage estimation (2SI2) in the vector error correction model(VECM) formulation. Our main results are analogous to the I(1) case: We show that the long VARapproximation le...
Multivariate simultaneous equations models were used extensively for macroeconometric analysis when ...
This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Au...
This article studies the first-order vector error correction (VEC(1)) model when its noise is a line...
This paper proposes a model selection approach for the specification of the cointegrating rank in th...
International audienceThis paper investigates the lag length selection problem of a vector error cor...
Bauer D. Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations fo...
Vector Autoregression (VAR) is a widely used method for learning complex interrelationship among the...
The current practice for determining the number of cointegrating vectors, or the cointegrating rank,...
We study the joint determination of the lag length, the dimension of the cointegrating space and the...
In this paper, we extend the well-known Sims, Stock and Watson (SSW)(Sims et al. 1990; Econometrica ...
Model selection and associated issues of post-model selection inference present well known challenge...
We investigate the finite sample behaviour of the ordinary least squares (OLS) estimator in vector a...
This paper develops a new methodology for identifying the structure of VARMA time series models. The...
International audienceThe problem of test of fit for Vector AutoRegressive (VAR) processes with unco...
In the presented work vector autoregression (VAR) models of finite order are examined. The main part...
Multivariate simultaneous equations models were used extensively for macroeconometric analysis when ...
This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Au...
This article studies the first-order vector error correction (VEC(1)) model when its noise is a line...
This paper proposes a model selection approach for the specification of the cointegrating rank in th...
International audienceThis paper investigates the lag length selection problem of a vector error cor...
Bauer D. Information-Criterion-Based Lag Length Selection in Vector Autoregressive Approximations fo...
Vector Autoregression (VAR) is a widely used method for learning complex interrelationship among the...
The current practice for determining the number of cointegrating vectors, or the cointegrating rank,...
We study the joint determination of the lag length, the dimension of the cointegrating space and the...
In this paper, we extend the well-known Sims, Stock and Watson (SSW)(Sims et al. 1990; Econometrica ...
Model selection and associated issues of post-model selection inference present well known challenge...
We investigate the finite sample behaviour of the ordinary least squares (OLS) estimator in vector a...
This paper develops a new methodology for identifying the structure of VARMA time series models. The...
International audienceThe problem of test of fit for Vector AutoRegressive (VAR) processes with unco...
In the presented work vector autoregression (VAR) models of finite order are examined. The main part...
Multivariate simultaneous equations models were used extensively for macroeconometric analysis when ...
This paper discusses summary measures for the speed of adjustment in possibly cointegrated Vector Au...
This article studies the first-order vector error correction (VEC(1)) model when its noise is a line...