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Volumn 15, Issue 4, 1999, Pages 435-468

Multivariate time series with various hidden unit roots, Part I: Integral operator algebra and representation theory

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EID: 0033413986     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S026646669915401X     Document Type: Article
Times cited : (30)

References (16)
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    • Engle, R.F.1    Granger, C.W.J.2
  • 3
    • 38249025912 scopus 로고
    • Merging short- And long-run forecasts: An Application of seasonal cointegration to monthly electricity sales forecasting
    • Engle, R.F., C.W.J. Granger, & J. Hallman (1989) Merging short- and long-run forecasts: An Application of seasonal cointegration to monthly electricity sales forecasting. Journal of Econometrics 40, 45-62.
    • (1989) Journal of Econometrics , vol.40 , pp. 45-62
    • Engle, R.F.1    Granger, C.W.J.2    Hallman, J.3
  • 4
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    • Some properties of time series data and their use in econometric model specification
    • Granger, C.W.J. (1981) Some properties of time series data and their use in econometric model specification. Journal of Econometrics 16, 121-130.
    • (1981) Journal of Econometrics , vol.16 , pp. 121-130
    • Granger, C.W.J.1
  • 6
    • 84986792205 scopus 로고
    • An introduction to long memory time series models and fractional differencing
    • Granger, C.W.J. & R. Joyeux (1980) An introduction to long memory time series models and fractional differencing. Journal of Times Series Analysis 1, 15-30.
    • (1980) Journal of Times Series Analysis , vol.1 , pp. 15-30
    • Granger, C.W.J.1    Joyeux, R.2
  • 7
    • 84986349431 scopus 로고
    • Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models
    • Granger, C.W.J. & T.H. Lee (1989a) Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models. Journal of Applied Econometrics 4, 145-159.
    • (1989) Journal of Applied Econometrics , vol.4 , pp. 145-159
    • Granger, C.W.J.1    Lee, T.H.2
  • 10
    • 0033416003 scopus 로고    scopus 로고
    • Multivariate time series with various unit roots, part II: Estimation and testing
    • Gregoir, S. (1999) Multivariate time series with various unit roots, part II: Estimation and testing. Econometric Theory 15, 469-518.
    • (1999) Econometric Theory , vol.15 , pp. 469-518
    • Gregoir, S.1
  • 11
    • 0042946447 scopus 로고
    • Multivariate time series: A polynomial error correction representation theorem
    • Gregoir, S. & G. Laroque (1993) Multivariate time series: A polynomial error correction representation theorem. Econometric Theory 9, 329-342.
    • (1993) Econometric Theory , vol.9 , pp. 329-342
    • Gregoir, S.1    Laroque, G.2
  • 12
    • 38149146457 scopus 로고
    • Polynomial cointegration: Estimation and test
    • Gregoir, S. & G. Laroque (1994) Polynomial cointegration: Estimation and test. Journal of Econometrics 67, 183-214.
    • (1994) Journal of Econometrics , vol.67 , pp. 183-214
    • Gregoir, S.1    Laroque, G.2
  • 14
    • 84972042327 scopus 로고
    • A representation of vector autoregressive processes integrated of order 2
    • Johansen, S. (1992) A representation of vector autoregressive processes integrated of order 2. Econometric Theory 8, 188-202.
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    • Johansen, S.1
  • 15
    • 0001527764 scopus 로고
    • A simple estimator of cointegrating vectors in higher order integrated systems
    • Stock, J.H. & M.W. Watson (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61, 783-820.
    • (1993) Econometrica , vol.61 , pp. 783-820
    • Stock, J.H.1    Watson, M.W.2
  • 16
    • 0007462064 scopus 로고
    • Multi-cointegrated time series and generalized error correction models
    • Department of Economics, University of California, San Diego
    • Yoo, B.S. (1986) Multi-cointegrated Time Series and Generalized Error Correction Models. Working paper, Department of Economics, University of California, San Diego.
    • (1986) Working Paper
    • Yoo, B.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.