Cointegration and Dynamic Simultaneous Equations Model

DOI10.2307/2171757zbMATH Open0871.62099OpenAlexW1983701088MaRDI QIDQ4340692FDOQ4340692

Publication date: 10 June 1997

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2171757

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scientific article; zbMATH DE number 768016

identification structural equation modeling time series least squares cointegration dynamic simultaneous equation model multiple time series model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
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