The integration order of vector autoregressive processes
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Recommendations
- THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
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- scientific article; zbMATH DE number 6193731
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Cites work
- An algebraic interpretation of cointegration
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Granger's representation theorem: A closed‐form expression for I(1) processes
- On the determination of integration indices in I(2) systems
- Representations of \(I(2)\) cointegrated systems using the Smith-McMillan form
Cited in
(10)- An algebraic interpretation of cointegration
- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
- THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
- A representation theory for polynomial cofractionality in vector autoregressive models
- The role of the drift in I(2) systems
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- scientific article; zbMATH DE number 6193731 (Why is no real title available?)
- Representation of I(1) and I(2) autoregressive Hilbertian processes
- A general inversion theorem for cointegration
- A characterization of vector autoregressive processes with common cyclical features
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