A short-cut derivation for the solution of autoregressive models from sharp algebraic arguments

DOI10.1080/03610926.2011.566977MaRDI QIDQ4648657zbMATH OpenOpenAlexFDO

Authors Maria Grazia Zoia, Laura Barbieri

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

zbMATH Keywords

vector autoregressive modelLaurent expansionDrazin inverseintegrated solutionstationarity recovery

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• An algebraic interpretation of cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• ON A PARTITIONED INVERSION FORMULA HAVING USEFUL APPLICATIONS IN ECONOMETRICS
• Time series analysis. Forecasting and control

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