A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES
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Publication:5397673
DOI10.1017/S026646661200014XzbMath1281.62188MaRDI QIDQ5397673
Publication date: 24 February 2014
Published in: Econometric Theory (Search for Journal in Brave)
Related Items (7)
Cointegration analysis with state space models ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Cointegration in singular ARMA models ⋮ On cointegration for processes integrated at different frequencies ⋮ Testing for cointegration in \(I(1)\) state space systems via a finite order approximation ⋮ Periodic and seasonal (co-)integration in the state space framework ⋮ A general inversion theorem for cointegration
Cites Work
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- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- A method for approximate representation of vector-valued time series and its relation to two alternatives
- Maximum likelihood inference on cointegration and seasonal cointegration
- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Polynomial cointegration. Estimation and test
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Inference in Linear Time Series Models with some Unit Roots
- State space modeling of multiple time series
- Likelihood Analysis of the I(2) Model
- MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
- Granger's representation theorem: A closed‐form expression for I(1) processes
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