A general inversion theorem for cointegration
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Publication:5860964
DOI10.1080/07474938.2018.1536100zbMath1490.62243OpenAlexW2724868721WikidataQ128698799 ScholiaQ128698799MaRDI QIDQ5860964
Massimo Franchi, Paolo Paruolo
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2018.1536100
cointegrationmoving average representationcommon trendsautoregressive representationtriangular representation
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (5)
COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES ⋮ Fully modified least squares cointegrating parameter estimation in multicointegrated systems ⋮ Fredholm inversion around a singularity: application to autoregressive time series in Banach space ⋮ REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES ⋮ COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES
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