MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
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Publication:4512735
DOI10.1017/S026646669915401XzbMath0985.62068MaRDI QIDQ4512735
Publication date: 23 May 2002
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Basic linear algebra (15A99) Applications of operator theory in probability theory and statistics (47N30)
Related Items (14)
Efficient tests for the presence of a pair of complex conjugate unit roots in real time series ⋮ Cointegration analysis with state space models ⋮ On cointegration for processes integrated at different frequencies ⋮ The Chow-Lin method extended to dynamic models with autocorrelated residuals ⋮ A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES ⋮ SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS ⋮ A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS ⋮ FULLY MODIFIED ESTIMATION OF SEASONALLY COINTEGRATED PROCESSES ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Temporal Aggregation of Seasonally Near‐Integrated Processes ⋮ A bivariate fractionally cointegrated relationship in the context of cyclical structures ⋮ COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES ⋮ A general inversion theorem for cointegration ⋮ Measuring length of business cycles across countries using a new non-stationary unit-root cyclical approach
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