On the Definitions of (Co-)integration

DOI10.1111/1467-9892.00128MaRDI QIDQ4956021zbMATH OpenOpenAlexFDO

Authors Karim M. Abadir, Robert A. M. Taylor

Publication date 24 May 2000

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

Full work available at URL https://doi.org/10.1111/1467-9892.00128

zbMATH Keywords

ARMA decompositioncointegrationcomposite hypothesesfractional integrationtime series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(13)

• An enlarged definition of cointegration
• The effects of \(I(1)\) series on cointegration inference
• Cointegration in VAR(1) process. Characterization and testing
• Determination of cointegrating rank in fractional systems.
• Noncontemporaneous cointegration and the importance of timing
• Nonstationarity-extended local Whittle estimation
• Two estimators of the long-run variance: beyond short memory
• LIMITED TIME SERIES WITH A UNIT ROOT
• Cointegration in frequency domain
• When is a time-series I(0)?
• Testing cointegrating relationships using irregular and non-contemporaneous series with an application to paleoclimate data
• Fixed bandwidth inference for fractional cointegration
• Some thoughts on the development of cointegration

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