A new proof of the representation theorem for I(2) processes

DOI10.1080/09720502.2003.10700352zbMath1140.62340OpenAlexW2038184931MaRDI QIDQ4465507

Mario Faliva, Maria Grazia Zoia

Publication date: 9 June 2004

Published in: Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720502.2003.10700352

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

Related Items (1)

Closed-form expressions for the regular part coefficients in matrix polynomial inversion and related results

Cites Work

• Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
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