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econ.EM2025
Largevars: An R Package for Testing Large VARs for the Presence of Cointegration
Anna Bykhovskaya, Vadim Gorin, Eszter Kiss
Cointegration is a property of multivariate time series that determines whether its non-stationary, growing components have a stationary linear combination. Largevars R package con…
stat.ME2025
How weak are weak factors? Uniform inference for signal strength in signal plus noise models
Anna Bykhovskaya, Vadim Gorin, Sasha Sodin
The paper analyzes four classical signal-plus-noise models: the factor model, spiked sample covariance matrices, the sum of a Wigner matrix and a low-rank perturbation, and canonic…