On alternative state space representations of time series models

DOI10.1016/0165-1889(88)90058-9zbMath0655.90015OpenAlexW2034019356MaRDI QIDQ1109668

Masanao Aoki

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90058-9

zbMATH Keywords

state space representationtime series modelscointegration vectorscointegration propertiessmall sample behaviour

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Economic growth models (91B62)

Related Items

Five alternative methods of estimating long-run equilibrium relationships

Cites Work

• Common nonstationary components of asset prices
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Are Output Fluctuations Transitory?
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