Extracting a common stochastic trend: Theory with some applications

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 231-247

  Chang, Yoosoon ^a   Isaac Miller, J ^b   Park, Joon Y ^a,c  

^a TEXAS A AND M UNIVERSITY   (United States)

^b UNIVERSITY OF MISSOURI   (United States)

^c Sungkyunkwan University   (South Korea)

Author keywords

Common stochastic trend; Interest rates; Kalman filter; Maximum likelihood estimation; Permanent transitory decomposition; State space model; Stock price index; Volume and volatility

Indexed keywords

COMMON STOCHASTIC TREND; INTEREST RATES; PERMANENT-TRANSITORY DECOMPOSITION; STATE SPACE MODEL; STOCK PRICE INDEX; VOLUME AND VOLATILITY;

ASYMPTOTIC ANALYSIS; BLOCK CODES; CONTROL THEORY; KALMAN FILTERS; PARAMETER ESTIMATION; RANDOM PROCESSES; STOCHASTIC MODELS; TIME SERIES;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 67349240806     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.007     Document Type: Article

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