Determination of vector error correction models in high dimensions
نویسندگان
چکیده
منابع مشابه
Automated Estimation of Vector Error Correction Models
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 a¤ect the form of the model and its interpretation. ...
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Mixed-Frequency Data Byeongchan Seong, Sung K. Ahn, and Peter A. Zadrozny a Department of Statistics, Chung-Ang University, Seoul 156-756, Korea (e-mail: [email protected]) b Department of Management and Operations, Washington State University, Pullman, WA 99164-4736, USA (e-mail: [email protected]) c Bureau of Labor Statistics,2 Massachusetts Ave., NE, Washington, DC 20212, USA (e-mail: Zadrozny.Pet...
متن کاملSupplemental Material for “Automated Estimation of Vector Error Correction Models”
This supplement has two sections. Section 1 contains proofs of some auxiliary lemmas used in the main text. Section 2 provides some further simulation results which complement those reported in the main text. 1 Proofs of Auxiliary Lemmas This section provides proofs of some lemmas which are used in the main text to derive the asymptotic properties of the LS shrinkage estimator. For ease of expo...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2019
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2018.09.018