Analysis of cointegrated VARMA processes

DOI10.1016/S0304-4076(97)00035-3zbMath0915.62096MaRDI QIDQ1371369

Holger Claessen, Helmut Lütkepohl

Publication date: 28 October 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

cointegrationechelon formerror correction modelKronecker indicesvector autoregressive moving average

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)

Related Items

Cointegration analysis with state space models ⋮ DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA ⋮ Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Exact maximum likelihood estimation of partially nonstationary vector ARMA models ⋮ Modeling assets and liabilities of a finnish pension insurance company: a VEqC approach ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ Cointegrated VARIMA Models: Specification and Simulation ⋮ ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS

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