An algebraic interpretation of cointegration

DOI10.1016/S0165-1765(00)00215-9zbMATH Open0945.91052WikidataQ128109248 ScholiaQ128109248MaRDI QIDQ1978765FDOQ1978765

Authors: Klaus Neusser 

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

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zbMATH Keywords

cointegrationintegrationDrazin and group inverses

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Optimal Inference in Cointegrated Systems
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Testing for Common Trends
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Pseudo-Inverses in Associative Rings and Semigroups
• Title not available (Why is that?)
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Cited In (6)

• Granger's representation theorem: A closed‐form expression for I(1) processes
• A general inversion theorem for cointegration
• Cointegration analysis with state space models
• 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
• The integration order of vector autoregressive processes

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