Cointegration in VAR(1) process. Characterization and testing

DOI10.1007/S00362-002-0114-YzbMath1021.62069OpenAlexW1973364195MaRDI QIDQ1849314

Umberto Triacca

Publication date: 1 December 2002

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-002-0114-y

Mathematics Subject Classification ID

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

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• COINTEGRATION AND DISTANCE BETWEEN INFORMATION SETS

This page was built for publication: Cointegration in VAR(1) process. Characterization and testing