THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES
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Publication:2886959
DOI10.1017/S0266466607070259zbMath1274.62589OpenAlexW2130778556MaRDI QIDQ2886959
Publication date: 14 May 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466607070259
Related Items (5)
ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG ⋮ A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS ⋮ A characterization of vector autoregressive processes with common cyclical features ⋮ REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES ⋮ A general inversion theorem for cointegration
Cites Work
- Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
- On the determination of integration indices in I(2) systems
- An algebraic interpretation of cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Granger's representation theorem: A closed‐form expression for I(1) processes
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