Cointegration analysis with state space models

DOI10.1007/s10182-010-0138-xzbMath1443.62291OpenAlexW2020949640MaRDI QIDQ1633206

Martin Wagner

Publication date: 19 December 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: http://irihs.ihs.ac.at/1971/1/es-248.pdf

zbMATH Keywords

cointegrationstate space modelsunit rootspseudo maximum likelihood estimationsubspace algorithmspolynomial cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Cointegrated continuous-time linear state-space and MCARMA models

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