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The effects of \(I(1)\) series on cointegration inference - MaRDI portal

The effects of \(I(1)\) series on cointegration inference

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Publication:1428295

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DOI10.1155/S1173912602000160zbMATH Open1035.62093OpenAlexW2076490678MaRDI QIDQ1428295

Michael McCrae, Yan-Xia Lin

Publication date: 25 March 2004

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/123455

zbMATH Keywords

eigenvalues cointegration simulations cointegrating vector ARIMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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