DIFFERENCING MULTIPLE TIME SERIES: ANOTHER LOOK AT CANADIAN MONEY AND INCOME DATA

DOI10.1111/j.1467-9892.1982.tb00346.xzbMath0506.62071OpenAlexW2052019987MaRDI QIDQ4743618

Helmut Lütkepohl

Publication date: 1982

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1982.tb00346.x

zbMATH Keywords

autoregressive modelsCanadian money and income datadifferencing multiple time seriesintegrated stochastic processes

Mathematics Subject Classification ID

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

Related Items (1)

Testing for serial correlation of unknown form in cointegrated time series models

Cites Work

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• Estimation for autoregressive processes with unit roots
• Estimation of the parameters of stochastic difference equations
• On the structure of moving average processes
• Forecasting aggregates of independent ARIMA processes
• Fitting autoregressive models for prediction
• Statistical predictor identification
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Multiple Time Series Analysis and the Final Form of Econometric Models

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