An enlarged definition of cointegration

DOI10.1016/0165-1765(95)00733-4MaRDI QIDQ1351731zbMATH OpenOpenAlexFDO

Authors Renato G. jun. Flôres, Ariane Szafarz

Publication date 27 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)00733-4

zbMATH Keywords

CointegrationIntegration orderMultivariate process

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• On the Definitions of (Co-)integration
• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
• Statistical analysis of cointegration vectors
• Cointegration: Overview and Development
• scientific article; zbMATH DE number 1031883

Cites work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• scientific article; zbMATH DE number 51202 (Why is no real title available?)

Cited in

(5)

• An empirical method for assessing the research relevance gap
• Determination of cointegrating rank in fractional systems.
• A comparison of semiparametric tests for fractional cointegration
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Semiparametric inference in multivariate fractionally cointegrated systems

This page was built for publication: An enlarged definition of cointegration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1351731)