THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
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Publication:3210028
DOI10.1111/j.1467-9892.1991.tb00067.xzbMath0722.62058MaRDI QIDQ3210028
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Publication date: 1991
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1991.tb00067.x
integration; cointegration; unit roots; examples; stationary invertible zero-mean ARMA process; vector autoregression models
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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