MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
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Publication:4512735
DOI10.1017/S026646669915401XzbMATH Open0985.62068MaRDI QIDQ4512735FDOQ4512735
Authors: Stéphane Gregoir 
Publication date: 23 May 2002
Published in: Econometric Theory (Search for Journal in Brave)
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Basic linear algebra (15A99) Applications of operator theory in probability theory and statistics (47N30)
Cited In (15)
- Efficient tests for the presence of a pair of complex conjugate unit roots in real time series
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
- A general inversion theorem for cointegration
- Cointegration analysis with state space models
- On cointegration for processes integrated at different frequencies
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- A state space canonical form for unit root processes
- Temporal Aggregation of Seasonally Near‐Integrated Processes
- COINTEGRATION IN FUNCTIONAL AUTOREGRESSIVE PROCESSES
- Measuring length of business cycles across countries using a new non-stationary unit-root cyclical approach
- SEMI-PARAMETRIC SEASONAL UNIT ROOT TESTS
- The Chow-Lin method extended to dynamic models with autocorrelated residuals
- A representation theory for polynomial cofractionality in vector autoregressive models
- Fully modified estimation of seasonally cointegrated processes
- MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART II
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