ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS

DOI10.1017/S0266466606060543zbMath1170.62360OpenAlexW2136539539MaRDI QIDQ3434193

D. S. Poskitt

Publication date: 23 April 2007

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466606060543

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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