Parley R Yang, Alexander Y Shestopaloff
arXiv 28 Dec 2023 · Statistics — Methodology
arXiv:2312.17061 · PDF · DOI · OpenAlex · Extracted main text
Vector Error Correction Model (VECM) is a classic method to analyse cointegration relationships amongst multivariate non-stationary time series. In this paper, we focus on high dimensional setting and seek for sample-size-efficient methodology to determine the level of cointegration. Our investigation centres at a Bayesian approach to analyse the cointegration matrix, henceforth determining the cointegration rank. We design two algorithms and implement them on simulated examples, yielding promising results particularly when dealing with high number of variables and relatively low number of observations. Furthermore, we extend this methodology to empirically investigate the constituents of the S&P 500 index, where low-volatility portfolios can be found during both in-sample training and out-of-sample testing periods.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Rockova, Veronika, George, Edward I (2018) The Spike-and-Slab LASSO | 0.874 | 7 | 2 | 100% |
| 2 | Liang, Chong, Schienle, Melanie (2019) Determination of vector error correction models in high dimensions | 0.811 | 4 | 2 | 100% |
| 3 | Castillo, Aad (2012) Needles and Straw in a Haystack: Posterior concentration for possibly sparse sequences | 0.405 | 1 | 1 | 100% |
| 4 | Chen, Shi, Schienle, Melanie (2022) Large Spillover Networks of Nonstationary Systems | 0.405 | 1 | 1 | 100% |
| 5 | Engle, Robert F., Granger, C. W. J (1987) Co-Integration and Error Correction: Representation, Estimation, and Testing | 0.405 | 1 | 1 | 100% |
| 6 | Rockova, Veronika, George, Edward I (2016) Bayesian penalty mixing: The case of a non-separable penalty | 0.405 | 1 | 1 | 100% |
| 7 | Bai, Ray, Rockova, Veronika, George, Edward I (2021) Spike-and-slab meets lasso: A review of the spike-and-slab lasso | 0.405 | 1 | 1 | 100% |
| 8 | Rockova, Veronika (2018) Bayesian estimation of sparse signals with a continuous spike-and-slab prior | 0.405 | 1 | 1 | 100% |
| 9 | Johansen, Søren (1991) Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models | 0.405 | 1 | 1 | 100% |
| 10 | Barber, David, Cemgil, A Taylan, Chiappa, Silvia (2011) Bayesian time series models | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 10 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Low Volatility Stock Portfolio Through High Dimensional Bayesian Cointegration | 0.644 | 2 | 2 |