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econ.EM2022★ 2 cited
Asymptotics of Cointegration Tests for High-Dimensional VAR()
Anna Bykhovskaya, Vadim Gorin
The paper studies nonstationary high-dimensional vector autoregressions of order , VAR(). Additional deterministic terms such as trend or seasonality are allowed. The number…
econ.EM2020
Cointegration in large VARs
Anna Bykhovskaya, Vadim Gorin
The paper analyses cointegration in vector autoregressive processes (VARs) for the cases when both the number of coordinates, , and the number of time periods, , are large an…