On the Definitions of (Co-)integration

DOI10.1111/1467-9892.00128zbMath0938.62088OpenAlexW3123035315MaRDI QIDQ4956021

Robert A. M. Taylor, Karim M. Abadir

Publication date: 24 May 2000

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00128

zbMATH Keywords

cointegrationfractional integrationtime series analysiscomposite hypothesesARMA decomposition

Mathematics Subject Classification ID

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

Related Items (4)

Nonstationarity-extended local Whittle estimation ⋮ Two estimators of the long-run variance: beyond short memory ⋮ LIMITED TIME SERIES WITH A UNIT ROOT ⋮ Determination of cointegrating rank in fractional systems.

This page was built for publication: On the Definitions of (Co-)integration