A Short-Cut Derivation for the Solution of Autoregressive Models from Sharp Algebraic Arguments
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Publication:4648657
DOI10.1080/03610926.2011.566977zbMath1284.62580MaRDI QIDQ4648657
Laura Barbieri, Maria Grazia Zoia
Publication date: 12 November 2012
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.566977
Drazin inverse; Laurent expansion; vector autoregressive model; integrated solution; stationarity recovery
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Cites Work
- An algebraic interpretation of cointegration
- Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
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