scientific article; zbMATH DE number 1538096

MaRDI QIDQ4518959zbMATH OpenFDO

Authors Søren Johansen

Publication date 27 November 2001

zbMATH Keywords

\(I(2)\) modelscointegrationstatistical analysis

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic time series analysis (91B84)

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(12)

• Methods of analyzing nonstationary time series with implicit changes in their properties
• Statistical distributions of time series in the frequency domain and the patterns of violation of white noise conditions
• Analytic nonstationary processes
• Modelling time series data of monetary aggregates using I(2) and I(1) cointegration analysis
• Time series analysis. Nonstationary and noninvertible distribution theory
• Inference for time series and stochastic processes
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• The statistical approach to the analysis of time-series
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• Time-dependent statistical analysis of wide-area time-synchronized data

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