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Identifying Cointegration by Eigenanalysis - MaRDI portal

Identifying Cointegration by Eigenanalysis (Q5231517)

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scientific article; zbMATH DE number 7098400
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English
Identifying Cointegration by Eigenanalysis
scientific article; zbMATH DE number 7098400

    Statements

    title
    Identifying Cointegration by Eigenanalysis (English)
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    publication date
    27 August 2019
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    zbMATH Keywords
    cointegration
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    eigenanalysis
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    \(I(d)\)
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    nonstationary processes
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    vector time series
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    cites work
    Q4882268
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    Q5560061
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    Identifiers

    zbMATH DE Number
    7098400
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    OpenAlex ID
    W2963812463
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    arXiv ID
    1505.00821
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