Cointegration analysis with state space models
type: Item
instance of: scholarly article
title: Cointegration analysis with state space models
zbMATH Open document ID: 1443.62291
author: Martin Wagner
published in: AStA. Advances in Statistical Analysis
publication date: 2018-12-19T00:00:00Z
full work available at URL: es-248.pdf
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6995834
zbMATH Keywords: state space models
zbMATH Keywords: unit roots
zbMATH Keywords: cointegration
zbMATH Keywords: polynomial cointegration
zbMATH Keywords: pseudo maximum likelihood estimation
zbMATH Keywords: subspace algorithms
MaRDI profile type: Publication
OpenAlex ID: W2020949640
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DOI: 10.1007/S10182-010-0138-X
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description: scientific article; zbMATH DE number 6995834