THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS

DOI10.1111/J.1467-9892.1991.TB00067.XzbMATH Open0722.62058OpenAlexW2088379061MaRDI QIDQ3210028FDOQ3210028

Author name not available (Why is that?)

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

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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)

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Multiple Time Series Regression with Integrated Processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Statistical analysis of cointegration vectors
• Title not available (Why is that?)

Cited In (14)

• Some identification problems in the cointegrated vector autoregressive model
• Cointegration: Overview and Development
• Inference of Vector Autoregressive Models With Cointegration and Scalar Components
• \(I(0)\) in, integration and cointegration out: Time series properties of endogenous growth models
• Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
• Common cyclical features analysis in VAR models with cointegration
• A Mixed Copula-Based Vector Autoregressive Model for Econometric Analysis
• Title not available (Why is that?)
• Cointegration in singular ARMA models
• Title not available (Why is that?)
• COINTEGRATION AND COMMON FACTORS
• Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression
• Vector Autoregressions and Causality
• On the structure of cointegration

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