A Short-Cut Derivation for the Solution of Autoregressive Models from Sharp Algebraic Arguments

DOI10.1080/03610926.2011.566977zbMath1284.62580OpenAlexW2024046475MaRDI QIDQ4648657

Laura Barbieri, Maria Grazia Zoia

Publication date: 12 November 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.566977

zbMATH Keywords

Drazin inverseLaurent expansionvector autoregressive modelintegrated solutionstationarity recovery

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• An algebraic interpretation of cointegration
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
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