Analysis of cointegrated VARMA processes

DOI10.1016/S0304-4076(97)00035-3zbMath0915.62096MaRDI QIDQ1371369

Helmut Lütkepohl, Holger Claessen

Publication date: 28 October 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

cointegration; echelon form; error correction model; Kronecker indices; vector autoregressive moving average

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

91B84: Economic time series analysis

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