Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
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Publication:3615081
DOI10.1080/07474930802387977zbMath1161.62059OpenAlexW2142844166MaRDI QIDQ3615081
Publication date: 17 March 2009
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930802387977
error correction modelsfractional autoregressive modelGranger representationintegration of order 1 and 2
Related Items (11)
Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterization ⋮ On causal and non‐causal cointegrated vector autoregressive time series ⋮ Minimax interpolation of sequences with stationary increments and cointegrated sequences ⋮ COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES ⋮ Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries ⋮ An asymptotic invariance property of the common trends under linear transformations of the data ⋮ Likelihood based testing for no fractional cointegration ⋮ A characterization of vector autoregressive processes with common cyclical features ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES ⋮ A general inversion theorem for cointegration
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