scientific article
From MaRDI portal
Publication:3339131
zbMath0547.62060MaRDI QIDQ3339131
Clive W. J. Granger, Andrew A. Weiss
Publication date: 1983
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
polynomialslag operatorbivariate feedback modelserror- correction modelsintegrated ARIMA modelsmulti-component co-integrated seriesone-way causal modeltesting for two integrated serieswhite noise series
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (22)
Unnamed Item ⋮ Estimation of partially nonstationary vector autoregressive models with seasonal behavior ⋮ Robustifying forecasts from equilibrium-correction systems ⋮ Polynomial cointegration. Estimation and test ⋮ Statistical analysis of cointegration vectors ⋮ Testing for cointegration using principal components methods ⋮ Forecasting and testing in co-integrated systems ⋮ A two-step state space time series modeling method ⋮ Long memory processes and fractional integration in econometrics ⋮ Spurious regression ⋮ Semi-parametric single-index predictive regression models with cointegrated regressors ⋮ Error-Correction Factor Models for High-dimensional Cointegrated Time Series ⋮ Portmanteau-type tests for unit-root and cointegration ⋮ Co-integration and trend-stationarity in macroeconomic time series. Evidence from the likelihood function ⋮ Forecasting time series with common seasonal patterns (with discussion) ⋮ A note on forecasting in co-integrated systems ⋮ Predicting retailer orders with POS and order data: the inventory balance effect ⋮ Mean-variance portfolio selection of cointegrated assets ⋮ Testing for serial correlation of unknown form in cointegrated time series models ⋮ Structural econometric modeling and time series analysis ⋮ Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration ⋮ Testing for the cointegration rank when some cointegrating directions are changing
This page was built for publication: