Common cyclical features analysis in VAR models with cointegration

DOI10.1016/j.jeconom.2005.01.025zbMath1337.62266OpenAlexW2108967620MaRDI QIDQ291630

Alain Hecq, Franz C. Palm, Jean-Pierre Urbain

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.025

zbMATH Keywords

cointegrationreduced rank structureserial correlation common features

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07)

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