A characterization of vector autoregressive processes with common cyclical features

DOI10.1016/j.jeconom.2010.11.009zbMath1441.62691OpenAlexW2068578299MaRDI QIDQ737947

Massimo Franchi, Paolo Paruolo

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.11.009

zbMATH Keywords

cointegrationcommon cyclesI(2)I(1)multiple time series

Mathematics Subject Classification ID

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

Related Items (6)

Codependent VAR models and the pseudo-structural form ⋮ Inversion of regular analytic matrix functions: Local Smith form and subspace duality ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ Inverting a Matrix Function around a Singularity via Local Rank Factorization ⋮ REPRESENTATION OF I(1) AND I(2) AUTOREGRESSIVE HILBERTIAN PROCESSES ⋮ A general inversion theorem for cointegration

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