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stat.ME2022
High-dimensional cointegration and Kuramoto systems
Jacob Stærk-Østergaard, Anders Rahbek, Susanne Ditlevsen
This paper presents a novel estimator for a non-standard restriction to both symmetry and low rank in the context of high dimensional cointegrated processes. Furthermore, we discus…
stat.ME2021★ 1 cited
The validity of bootstrap testing in the threshold framework
Simone Giannerini, Greta Goracci, Anders Rahbek
We consider bootstrap-based testing for threshold effects in non-linear threshold autoregressive (TAR) models. It is well-known that classic tests based on asymptotic theory tend t…