A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS

DOI10.1017/S0266466609990508zbMath1294.62199MaRDI QIDQ3580638

Massimo Franchi

Publication date: 13 August 2010

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

Related Items

A general inversion theorem for cointegration, Inversion of regular analytic matrix functions: Local Smith form and subspace duality, A characterization of vector autoregressive processes with common cyclical features, Estimation of long-run parameters in unbalanced cointegration, Inverting a Matrix Function around a Singularity via Local Rank Factorization, Weak convergence to a modified fractional Brownian motion

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