Estimating cointegrated systems using subspace algorithms

By Dietmar Bauer, Martin Wagner. 2002

57 citations recorded by the source corpus.

Subfields: Control and Systems Engineering, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/7ffb8ebd5132d3b676a56c781944b563dd496fd3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Control and Systems Engineering

1. Manfred Gilli
2. Peter Winker
3. Dietmar Bauer
4. Nuno Vasconcelos
5. Antoni B. Chan

In Statistics and Probability

1. Peter Winker
2. Manfred Gilli
3. Dietmar Bauer

Citations in the corpus

• Heuristic Optimization Methods in Econometrics (2009, methodology): “Bauer and Wagner (2002) propose an alternative estimator which might also be used in the context of model selection for (co)integrated time series.”
• Comparing the CCA Subspace Method to Pseudo Maximum Likelihood Methods in the case of No Exogenous Inputs (2005, methodology): “, 2000), control of industrial processes (Van Overschee, 1995), sensor array processing (Gustafsson, 1999), econometrics (Aoki and Havenner, 1991; Bauer and Wagner, 2002) and recently also financial econometrics (Bauer, 2004).”