Representations of I(2) cointegrated systems using the Smith-Mcmillan form

Journal of Econometrics

Volumn 84, Issue 2, 1998, Pages 303-325

  Haldrup, Niels ^a   Salmon, Mark ^b,c  

^a AARHUS UNIVERSITY   (Denmark)

^b EUROPEAN UNIVERSITY INSTITUTE   (Italy)

^c CITY UNIVERSITY   (United Kingdom)

Author keywords

Bewley representation; Cointegration; Common stochastic trends; Error correction; Smith Mcmillan canonical form; Triangular decomposition

Indexed keywords

EID: 0038991786     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00088-2     Document Type: Article

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