Estimating cointegrated systems using subspace algorithms

Dietmar Bauer, Martin Wagner

Type: Article

Publication Date: 2002-09-11

Citations: 56

DOI: https://doi.org/10.1016/s0304-4076(02)00119-7

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Journal of Econometrics - View
RePEc: Research Papers in Economics - View - PDF

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Works Cited by This (9)

Action	Title	Year	Authors
+	Spectral Approximation of Linear Operators	2011	Françoise Chatelin
+	The Statistical Theory of Linear Systems E. J. Hannan and Manfred Deistler John Wiley & Sons, 1988	1992	Victor Solo
+	Asymptotic properties of projections with applications to stochastic regression problems	1982	Tze Leung Lai Ching-Zong Wei
+	On Spectral Approximation of Linear Operators	1998	Rafikul Alam
+	Consistency and relative efficiency of subspace methods	1995	Manfred Deistler K. Peternell Wolfgang Scherrer
+	Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation	1992	Pentti Saikkonen
+	System Identification, Reduced-Order Filtering and Modeling via Canonical Variate Analysis	1983	Wallace E. Larimore
+ PDF Chat	Fully Modified Least Squares and Vector Autoregression	1995	Peter C.B. Phillips
+	Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model	1995	Sook Fwe Yap Gregory C. Reinsel