Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
Year of publication: |
November 2014
|
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Authors: | Athanasopoulos, George ; Poskitt, Donald Stephen ; Vahid, Farshid ; Yao, Wenying |
Publisher: |
Victoria : Monash University, Department of Econometrics and Business Statistics |
Subject: | Cointegration | Error correction | Scalar Component Model | Multivariate Time Series | Kointegration | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Schätzung | Estimation | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | VAR-Modell | VAR model |
Extent: | 1 Online-Ressource (circa 44 Seiten) Illustrationen |
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Series: | Working paper / Department of Econometrics and Business Statistics, Monash University. - Clayton, Vic., ZDB-ID 2419033-0. - Vol. 14, 22 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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