Identifying Cointegration by Eigenanalysis

On determination of cointegration ranks

(2013) Qiaoling Li et al.   Statistics and Its Interface

Factor modeling for high-dimensional time series: Inference for the number of factors

(2012) Clifford Lam et al.   ANNALS OF STATISTICS

A two-sample test for high-dimensional data with applications to gene-set testing

(2010) Song Xi Chen et al.   ANNALS OF STATISTICS

Semiparametric inference in multivariate fractionally cointegrated systems

(2010) J. Hualde et al.   JOURNAL OF ECONOMETRICS

MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION - WITH APPLICATIONS TO THE DEMAND FOR MONEY

(2010) Søren Johansen et al.   OXFORD BULLETIN OF ECONOMICS AND STATISTICS

Diagnostic testing for cointegration

(2007) P.M. Robinson   JOURNAL OF ECONOMETRICS