THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS

DOI10.1111/J.1467-9892.1991.TB00067.XMaRDI QIDQ3210028zbMATH OpenOpenAlexFDO

Authors

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

zbMATH Keywords

unit rootscointegrationintegrationexamplesstationary invertible zero-mean ARMA processvector autoregression models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Cointegration: Overview and Development
• Statistical analysis of cointegration vectors
• Analysis of cointegrated VARMA processes
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• The integration order of vector autoregressive processes

Cites work

• scientific article; zbMATH DE number 4128260 (Why is no real title available?)
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Multiple Time Series Regression with Integrated Processes
• Statistical analysis of cointegration vectors

Cited in

(17)

• scientific article; zbMATH DE number 5587074 (Why is no real title available?)
• Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression
• Common cyclical features analysis in VAR models with cointegration
• COINTEGRATION AND COMMON FACTORS
• Some identification problems in the cointegrated vector autoregressive model
• A Mixed Copula-Based Vector Autoregressive Model for Econometric Analysis
• scientific article; zbMATH DE number 1329169 (Why is no real title available?)
• Vector Autoregressions and Causality
• scientific article; zbMATH DE number 53501 (Why is no real title available?)
• The integration order of vector autoregressive processes
• Cointegration: Overview and Development
• On the structure of cointegration
• \(I(0)\) in, integration and cointegration out: Time series properties of endogenous growth models
• Cointegration in singular ARMA models
• Inference of Vector Autoregressive Models With Cointegration and Scalar Components
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form

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