THE INTEGRATION ORDER OF VECTOR AUTOREGRESSIVE PROCESSES (Q2886959): Difference between revisions

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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+On the determination of integration indices in I(2) systems
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+An algebraic interpretation of cointegration
@@ Property / cites work: An algebraic interpretation of cointegration / rank @@
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+Granger's representation theorem: A closed‐form expression for I(1) processes
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+Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
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+https://doi.org/10.1017/s0266466607070259
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+W2130778556
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+Publication:2886959