Estimating cointegrated systems using subspace algorithms

Journal of Econometrics

Volumn 111, Issue 1, 2002, Pages 47-84

  Bauer, Dietmar ^a   Wagner, Martin ^b  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^b UNIVERSITY OF BERN   (Switzerland)

Author keywords

Cointegration; State space representation; Subspace algorithms

Indexed keywords

ALGORITHMS; REGRESSION ANALYSIS; SPURIOUS SIGNAL NOISE; VECTORS;

COINTEGRATED PROCESSES; STATIONARY PROCESSES;

LINEAR EQUATIONS;

EID: 0346093817     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00119-7     Document Type: Article

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