Cointegration in singular ARMA models

DOI10.1016/j.econlet.2017.03.001zbMath1396.62203OpenAlexW2587476757MaRDI QIDQ1673429

Martin Wagner, Manfred Deistler

Publication date: 12 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/35778

zbMATH Keywords

cointegrationsingular ARMA systems

Mathematics Subject Classification ID

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

Related Items (1)

Testing for cointegration in \(I(1)\) state space systems via a finite order approximation

Cites Work

• Unnamed Item
• The structure of multivariate AR and ARMA systems: regular and singular systems; the single and the mixed frequency case
• Autoregressive models of singular spectral matrices
• Asymptotics for linear processes
• Dynamic Identification of Dynamic Stochastic General Equilibrium Models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES

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