Asymptotics of Cointegration Tests for High-Dimensional VAR()Review of Economics and Statistics (REStat), 2022 |
Convergence rate to the Tracy--Widom laws for the largest eigenvalue of
sample covariance matricesThe Annals of Applied Probability (Ann. Appl. Probab.), 2021 |
Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher
matrices with a divergent number of spikesJournal of Multivariate Analysis (JMA), 2020 |
Cointegration in large VARsAnnals of Statistics (Ann. Stat.), 2020 |