A unifying framework for analysing common cyclical features in cointegrated time series

DOI10.1016/j.csda.2007.07.004zbMath1452.62625MaRDI QIDQ1020892

Gianluca Cubadda

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2108/10050

zbMATH Keywords

reduced rank regression; common features

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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