Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
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Cites work
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- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Cointegration in fractional systems with deterministic trends
- Cointegration rank inference with stationary regressors in VAR models
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- Estimation of partially nonstationary vector autoregressive models with seasonal behavior
- Fractional differencing
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- Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
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Cited in
(24)- A matrix evaluation of the moving-average representation
- A comparison of semiparametric tests for fractional cointegration
- On non-stationary solutions to MSDDEs: representations and the cointegration space
- An asymptotic invariance property of the common trends under linear transformations of the data
- Stationary and nonstationary behaviour of the term structure: a nonparametric characterization
- Minimax interpolation of sequences with stationary increments and cointegrated sequences
- A representation theory for polynomial cofractionality in vector autoregressive models
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- scientific article; zbMATH DE number 1067786 (Why is no real title available?)
- A short-cut derivation for the solution of autoregressive models from sharp algebraic arguments
- Error Correction Models for Fractionally Cointegrated Time Series
- On causal and non-causal cointegrated vector autoregressive time series
- Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
- A state space canonical form for unit root processes
- Representation of I(1) and I(2) autoregressive Hilbertian processes
- Cointegration in functional autoregressive processes
- A general inversion theorem for cointegration
- COINTEGRATION AND REPRESENTATION OF COINTEGRATED AUTOREGRESSIVE PROCESSES IN BANACH SPACES
- Keldysh's theorem revisited
- A note on Johansen's rank conditions and the Jordan form of a matrix
- Inversion of an analytic operator function through Fredholm quotients and its application
- The general solution to an autoregressive law of motion
- Likelihood based testing for no fractional cointegration
- A characterization of vector autoregressive processes with common cyclical features
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