IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS
From MaRDI portal
Publication:4807269
DOI10.1017/S026646660117502XzbMath1016.62099OpenAlexW2030301008MaRDI QIDQ4807269
Publication date: 18 May 2003
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s026646660117502x
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (2)
Modified two-stage least-squares estimators for the estimation of a structural vector autoregressive integrated process ⋮ Lag‐augmented two‐ and three‐stage least squares estimators for integrated structural dynamic models
This page was built for publication: IDENTIFICATION AND DICHOTOMIZATION OF LONG- AND SHORT-RUN RELATIONS OF COINTEGRATED VECTOR AUTOREGRESSIVE MODELS