VECTOR AUTOREGRESSIONS WITH UNKNOWN MIXTURES OF I(0), I(1), AND I(2) COMPONENTS

DOI10.1017/S0266466600166058zbMath1179.62113OpenAlexW1977513912MaRDI QIDQ2716477

Yoosoon Chang

Publication date: 23 August 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466600166058

Mathematics Subject Classification ID

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

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