Inference of Vector Autoregressive Models With Cointegration and Scalar Components
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Publication:4366073
DOI10.2307/2291480zbMath1090.62552OpenAlexW4238476047MaRDI QIDQ4366073
Publication date: 1997
Full work available at URL: https://doi.org/10.2307/2291480
Cofeature, Gaussian estimationNested reduced rankPartially nonstationarySerial correlation common feature
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)
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