scientific article; zbMATH DE number 1067786

MaRDI QIDQ4358405zbMATH OpenFDO

Authors Riccardo Lucchetti

Publication date 20 November 1997

zbMATH Keywords

cointegrating vector autoregressive systemcompanion form representationGranger representationspectral decomposition

Mathematics Subject Classification ID

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

Recommendations

• Analysis of cointegrated VARMA processes
• COINTEGRATION AND COMMON FACTORS
• THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

Cited in

(1)

• Codependent VAR models and the pseudo-structural form

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