Results 11 to 20 of about 118,950 (155)
Automatic Identification of General Vector Error Correction Models
Economics: Journal Articles, 2016 Abstract There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Vector Error Correction models related to these situations.
Ignacio Arbués +2 more
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AUTOMATED ESTIMATION OF VECTOR ERROR CORRECTION MODELS [PDF]
Econometric Theory, 2012 Model selection and associated issues of post-model selection inference present well known challenges in empirical econometric research. These modeling issues are manifest in all applied work but they are particularly acute in multivariate time series settings such as cointegrated systems where multiple interconnected decisions can materially affect ...
LIAO, Zhipeng, Peter C. B. PHILLIPS
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Vector rational error correction [PDF]
Journal of Economic Dynamics and Control, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Sharon Kozicki, Peter A. Tinsley
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Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors [PDF]
Econometrics, 2020 Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q < r .
Matteo Barigozzi +2 more
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Time-Varying Vector Error-Correction Models: Estimation and Inference
SSRN Electronic Journal, 2023 This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this framework can be used to estimate shifts in the predictability of non-stationary variables, test whether economic
Jiti Gao, Bin Peng, Yayi Yan
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A vector error-correction forecasting model of the US economy [PDF]
Journal of Macroeconomics, 2002 Abstract Any research or policy analysis in economics must be consistent with the time-series properties of observed macroeconomic data. Numerous previous studies reinforce the need to specify correctly a model’s multivariate stochastic structure. This paper discusses in detail the specification of a vector error correction forecasting model that is ...
Richard G. Anderson +2 more
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Residual autocorrelation testing for vector error correction models [PDF]
Journal of Econometrics, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
BRUEGGEMANN, Ralf +2 more
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China's money demand in a cointegrating vector error correction model [PDF]
Journal of Asian Economics, 2021 This paper estimates open-economy macroeconomic models of the Chinese economy allowing for the structural change caused by the 1992 reforms. Unrestricted vector autoregressions, VARS, and cointegrating vector error correction models, VECMs, are estimated on quarterly data for the early reform period 1980-1992, and the later reform period, 1993-2018 ...
Xiaohong Chen +2 more
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Vector linear error correcting index codes and discrete polymatroids [PDF]
2015 IEEE International Symposium on Information Theory (ISIT), 2015 arXiv admin note: substantial text overlap with arXiv:1501 ...
Anoop Thomas, B. Sundar Rajan
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BMC Ophthalmology, 2018 Background To evaluate the refractive and visual outcomes of Transepithelial photorefractive keratectomy (TransPRK) in the treatment of low to moderate myopic astigmatism.
Lei Xi, Chen Zhang, Yanling He
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