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scientific article; zbMATH DE number 4128260 - MaRDI portal

scientific article; zbMATH DE number 4128260

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Publication:4207492

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zbMath0688.62049MaRDI QIDQ4207492

Søren Glud Johansen

Publication date: 1988

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

cointegration integral correction terms normal error correction model vector valued time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Statistical analysis of cointegration vectors, THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS, Realization and partial fractions, REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES, A general inversion theorem for cointegration

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