Zobrazeno 1 - 10
of 37
pro vyhledávání: '"Carsten Trenkler"'
Publikováno v:
Oxford Bulletin of Economics and Statistics. 84:1052-1076
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48f4bd180fa3e0d4976df9260fef33f4
https://doi.org/10.1111/obes.12508
https://doi.org/10.1111/obes.12508
Publikováno v:
Journal of Econometrics. 191:69-85
We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance pa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::535adf752ddba76dfc3a257bf26e3407
https://doi.org/10.1016/j.jeconom.2015.10.004
https://doi.org/10.1016/j.jeconom.2015.10.004
Autor:
Enzo Weber, Carsten Trenkler
Publikováno v:
Economics Letters. 138:15-18
This paper analyses identification for multivariate unobserved components models in which the innovations to trend and cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model. Ident
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b46bcd1c7cce6afbae09835a77acec5
https://doi.org/10.1016/j.econlet.2015.11.009
https://doi.org/10.1016/j.econlet.2015.11.009
Autor:
Christian Kascha, Carsten Trenkler
Publikováno v:
Journal of Applied Econometrics. 30:675-702
Summary We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the cointegrated case. We show that in this case with fixed initial values th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bbd99559ea6399d73cf111b3c3509be8
https://doi.org/10.1002/jae.2393
https://doi.org/10.1002/jae.2393
Bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of co-integration rank tests are investigated. The procedure constructs estimates of the bias in the original pa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7663e3823a1533fa989659a99f2d3a95
http://hdl.handle.net/11585/512786
http://hdl.handle.net/11585/512786
Publikováno v:
Econometric Reviews. 32:814-847
In this paper we investigate the role of deterministic components and initial values in bootstrap likelihood ratio type tests of cointegration rank. A number of bootstrap procedures have been proposed in the recent literature some of which include es
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::da05babbf9211505c83a9b99f5f2b0f7
https://doi.org/10.1080/07474938.2012.690677
https://doi.org/10.1080/07474938.2012.690677
Autor:
Enzo Weber, Carsten Trenkler
Publikováno v:
Applied Economics. 45:1953-1964
We analyse nonstationary time series that do not only trend together in the long run, but restore the equilibrium immediately in the period following a deviation. While this represents a common serial correlation feature, the framework is extended to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ebbc88409da60b8f3e8e5fbbb683cd2
https://doi.org/10.1080/00036846.2011.641931
https://doi.org/10.1080/00036846.2011.641931
Autor:
Carsten Trenkler
Publikováno v:
Econometric Theory. 25:243-269
In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006,Econometric Theory22, 15–68) and Saikkonen and Lütkepohl (2000,Journal of Time Series
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ee3a2800d9de8fe0a56afc86f6f4ba16
https://doi.org/10.1017/s0266466608090087
https://doi.org/10.1017/s0266466608090087
Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms
Autor:
Carsten Trenkler
Publikováno v:
Computational Statistics. 23:19-39
Following Doornik (J Econ Surv 12:573---593, 1998) I present a procedure to approximate the asymptotic distributions of systems cointegration tests with a prior adjustment for deterministic terms suggested by Lutkepohl (Econometrica 72:647---662, 200
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f4d7af36cdf15c3c2cf6489bf304a08e
https://doi.org/10.1007/s00180-007-0066-8
https://doi.org/10.1007/s00180-007-0066-8
Autor:
Carsten Trenkler, Weber, Enzo
Publikováno v:
MADOC-University of Mannheim
This paper analyses identification for multivariate unobserved components models in which the innovations to trend and cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model. Ident
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d69e713b4831bebf1fe1fde14009831a
https://hdl.handle.net/10419/129594
https://hdl.handle.net/10419/129594