Multiple Time Series Regression with Integrated Processes

DOI10.2307/2297602zbMath0599.62103OpenAlexW1981020475MaRDI QIDQ3734921

Steven N. Durlauf, Peter C. B. Phillips

Publication date: 1986

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0768.pdf

zbMATH Keywords

hypothesis testing invariance principle ARIMA integrated process vector autoregression multiple time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17)

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