Analysis of cointegrated VARMA processes (Q1371369)

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Analysis of cointegrated VARMA processes
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    title
    Analysis of cointegrated VARMA processes (English)
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    author
    Helmut Lütkepohl
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    Holger Claessen
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    publication date
    28 October 1997
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    Mathematics Subject Classification ID
    62P20
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    91B84
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    62M10
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    zbMATH DE Number
    1080770
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    zbMATH Keywords
    cointegration
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    error correction model
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    vector autoregressive moving average
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    echelon form
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    Kronecker indices
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