Continuous time autoregressive models with common stochastic trends

DOI10.1016/0165-1889(88)90046-2zbMath0647.62104OpenAlexW2099956629MaRDI QIDQ1104688

James H. Stock, Andrew C. Harvey

Publication date: 1988

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(88)90046-2

zbMATH Keywords

algorithmautoregressive modelscommon stochastic trendsmultivariate continuous time modelstationary disturbancessystem of higher-order autoregressive stochastic differential equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites Work

• Unnamed Item
• Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
• Note on the Correlation of First Differences of Averages in a Random Chain
• Computing integrals involving the matrix exponential
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Are Output Fluctuations Transitory?

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