A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS
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Publication:3580638
DOI10.1017/S0266466609990508zbMath1294.62199MaRDI QIDQ3580638
Publication date: 13 August 2010
Published in: Econometric Theory (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (6)
Weak convergence to a modified fractional Brownian motion ⋮ Inversion of regular analytic matrix functions: Local Smith form and subspace duality ⋮ Estimation of long-run parameters in unbalanced cointegration ⋮ A characterization of vector autoregressive processes with common cyclical features ⋮ Inverting a Matrix Function around a Singularity via Local Rank Factorization ⋮ A general inversion theorem for cointegration
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