Cointegrated VARIMA Models: Specification and Simulation

DOI10.1080/03610918.2013.765468zbMath1312.93110OpenAlexW1987413633MaRDI QIDQ5252808

Carlos G. Diaz, Jose L. Gallego

Publication date: 3 June 2015

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10902/10853

zbMATH Keywords

simulationcointegrationvector autoregressive integrated moving average (VARIMA) models

Mathematics Subject Classification ID

Stochastic stability in control theory (93E15) Stochastic systems in control theory (general) (93E03)

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Exact maximum likelihood estimation of partially nonstationary vector ARMA models
• Statistical analysis of cointegration vectors
• Forecasting and testing in co-integrated systems
• Analysis of cointegrated VARMA processes
• Optimal Inference in Cointegrated Systems
• TESTS OF COMMON STOCHASTIC TRENDS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models