Unit roots and cointegration modelling through a family of flexible information criteria

DOI10.1080/00949650802584991zbMath1202.91276OpenAlexW2118636004MaRDI QIDQ5306331

Alfredo García-Hiernaux, Miguel Jerez, José Casals

Publication date: 8 April 2010

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650802584991

zbMATH Keywords

subspace methodscointegrationstate-space modelsunit roots

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (1)

Forecasting linear dynamical systems using subspace methods

Uses Software

• E4

Cites Work

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• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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