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math.ST2023
Uniform Inference for Cointegrated Vector Autoregressive Processes
Christian Holberg, Susanne Ditlevsen
Uniformly valid inference for cointegrated vector autoregressive processes has so far proven difficult due to certain discontinuities arising in the asymptotic distribution of the…
math.ST2022
Weighted Reduced Rank Estimators Under Cointegration Rank Uncertainty
Christian Holberg, Susanne Ditlevsen
Cointegration analysis was developed for non-stationary linear processes that exhibit stationary relationships between coordinates. Estimation of the cointegration relationships in…