Subspace-based methods to determine unit roots and cointegrating ranks

MaRDI QIDQ3533595zbMATH OpenFDO

Authors A. García-Hiernaux, J. Casals, M. Jerez

Publication date 23 October 2008

Full work available at URL https://eudml.org/doc/54669

zbMATH Keywords

information criteriastate space modelstime series analysisloss function

Mathematics Subject Classification ID

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

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Cited in

(3)

• Estimating cointegrated systems using subspace algorithms
• Unit roots and cointegration modelling through a family of flexible information criteria
• Using subspace algorithm cointegration analysis: simulation performance and application to the term structure

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