Linear aggregation in cointegrated systems

DOI10.1016/0165-1889(94)00817-2zbMath0900.90190OpenAlexW2068674979MaRDI QIDQ673689

Devajyoti Ghose

Publication date: 28 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)00817-2

zbMATH Keywords

CointegrationAggregation

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

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• Persistence, cointegration, and aggregation. A disaggregated analysis of output fluctuations in the U.S. economy
• Statistical analysis of cointegration vectors
• Inference in Linear Time Series Models with some Unit Roots
• Multiple Time Series Regression with Integrated Processes
• Econometric Analysis of Aggregation in the Context of Linear Prediction Models
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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