Cointegration analysis with state space models
Year of publication: |
2010
|
---|---|
Authors: | Wagner, Martin |
Published in: |
Advances in statistical analysis : AStA ; a journal of the German Statistical Society. - Berlin : Springer, ISSN 1863-8171, ZDB-ID 2277258-3. - Vol. 94.2010, 3, p. 273-305
|
Subject: | Zustandsraummodell | State space model | Einheitswurzeltest | Unit root test | Kointegration | Cointegration | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Algorithmus | Algorithm | Theorie | Theory |
-
Cointegration analysis with state space models
Wagner, Martin, (2010)
-
Cointegration analysis with state space models
Wagner, Martin, (2010)
-
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio, (2015)
- More ...
-
Capital and goods market integration and the inequality of nations
Wagner, Martin, (1999)
-
Bierens' and Johansen's method: Complements or substitutes?
Wagner, Martin, (1999)
-
The Balassa-Samuelson effect in 'East & West': Differences and similarities
Wagner, Martin, (2005)
- More ...