MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
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Publication:4512735
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Cited in
(15)- MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART II
- 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
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- On cointegration for processes integrated at different frequencies
- A state space canonical form for unit root 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
- Cointegration in functional autoregressive processes
- A representation theory for polynomial cofractionality in vector autoregressive models
- Fully modified estimation of seasonally cointegrated processes
- Temporal aggregation of seasonally near-integrated processes
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