Cointegration and Dynamic Simultaneous Equations Model

DOI10.2307/2171757zbMath0871.62099OpenAlexW1983701088MaRDI QIDQ4340692

Cheng Hsiao

Publication date: 10 June 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171757

zbMATH Keywords

identificationtime seriescointegrationleast squaresstructural equation modelingdynamic simultaneous equation modelmultiple time series model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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