Topics in dynamic model analysis. Advanced matrix methods and unit-root econometrics representation theorems.

zbMath1102.91001MaRDI QIDQ2569529

Maria Grazia Zoia, Mario Faliva

Publication date: 27 October 2005

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

time series econometricssimultaneous equation modelsvector autoregressive modelsmultivariate stochastic processes(co)integration theoryderivation of representation theoremsdynamic model analysiseconometric theory

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) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items (2)

An inversion formula for a matrix polynomial about a (unit) root ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

This page was built for publication: Topics in dynamic model analysis. Advanced matrix methods and unit-root econometrics representation theorems.