Detecting common dynamics in transitory components

DOI10.2202/1941-1928.1088MaRDI QIDQ4928531zbMATH OpenOpenAlexFDO

Authors Timothy M. Christensen, Stan Hurn, Adrian Pagan

Publication date 14 June 2013

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://eprints.qut.edu.au/52186/1/52186.pdf

zbMATH Keywords

cointegrationcommon featuresreduced ranktransitory components

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(2)

• On the univariate representation of BEKK models with common factors
• SEPARATION, WEAK EXOGENEITY, AND P-T DECOMPOSITION IN COINTEGRATED VAR SYSTEMS WITH COMMON FEATURES

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