Analysis of cointegrated VARMA processes
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Publication:1371369
DOI10.1016/S0304-4076(97)00035-3zbMath0915.62096MaRDI QIDQ1371369
Holger Claessen, Helmut Lütkepohl
Publication date: 28 October 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
cointegrationechelon formerror correction modelKronecker indicesvector autoregressive moving average
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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