A characterization of vector autoregressive processes with common cyclical features

Journal of Econometrics

Volumn 163, Issue 1, 2011, Pages 105-117

  Franchi, Massimo ^a   Paruolo, Paolo ^b  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

^b UNIVERSITY OF INSUBRIA   (Italy)

Author keywords

Cointegration; Common cycles; I(1); I(2); Multiple time series

Indexed keywords

COINTEGRATION; COMMON CYCLES; I(1); I(2); MULTIPLE TIME SERIES;

TIME SERIES;

FACTORIZATION;

EID: 79956345269     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.11.009     Document Type: Conference Paper

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