Inference on the Cointegration Rank and a Procedure for VARMA Root-Modification

DOI10.14490/JJSS.36.149zbMath1110.62118OpenAlexW1995433871MaRDI QIDQ3442921

Yuzo Hosoya, Taro Takimoto

Publication date: 24 May 2007

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.36.149

zbMATH Keywords

Jordan canonical forminvertibilitystationarityWhittle estimatorcointegration rank test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

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