Analysis of cointegrated VARMA processes

Journal of Econometrics

Volumn 80, Issue 2, 1997, Pages 223-239

  Lütkepohl, Helmut ^a   Claessen, Holger ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b DB Systems   (Germany)

Author keywords

Cointegration; Echelon form; Error correction model; Kronecker indices; Vector autoregressive moving average process

Indexed keywords

EID: 4244180822     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0304-4076(97)00035-3     Document Type: Article

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