An algebraic interpretation of cointegration

DOI10.1016/S0165-1765(00)00215-9zbMath0945.91052WikidataQ128109248 ScholiaQ128109248MaRDI QIDQ1978765

Klaus Neusser

Publication date: 4 June 2000

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

zbMATH Keywords

integrationcointegrationDrazin and group inverses

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (6)

THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES ⋮ Cointegration analysis with state space models ⋮ Closed-form expressions for the regular part coefficients in matrix polynomial inversion and related results ⋮ Granger's representation theorem: A closed‐form expression for I(1) processes ⋮ A Short-Cut Derivation for the Solution of Autoregressive Models from Sharp Algebraic Arguments ⋮ A general inversion theorem for cointegration

Cites Work

• Pseudo-Inverses in Associative Rings and Semigroups
• Optimal Inference in Cointegrated Systems
• Testing for Common Trends
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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