An algebraic interpretation of cointegration

DOI10.1016/S0165-1765(00)00215-9MaRDI QIDQ1978765zbMATH OpenWikidataFDO

Authors Klaus Neusser

Publication date 4 June 2000

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

cointegrationintegrationDrazin and group inverses

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
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Cites work

• scientific article; zbMATH DE number 3648910 (Why is no real title available?)
• scientific article; zbMATH DE number 774488 (Why is no real title available?)
• 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
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Optimal Inference in Cointegrated Systems
• Pseudo-Inverses in Associative Rings and Semigroups
• Testing for Common Trends

Cited in

(6)

• Cointegration analysis with state space models
• Granger's representation theorem: A closed‐form expression for I(1) processes
• The integration order of vector autoregressive processes
• A general inversion theorem for cointegration
• Closed-form expressions for the regular part coefficients in matrix polynomial inversion and related results
• A short-cut derivation for the solution of autoregressive models from sharp algebraic arguments

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