The Cointegrated Vector Autoregressive Model with General Deterministic Terms
Year of publication: |
2016
|
---|---|
Authors: | Johansen, Soren |
Other Persons: | Nielsen, Morten Ørregaard (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Kointegration | Cointegration | VAR-Modell | VAR model | Theorie | Theory |
Extent: | 1 Online-Ressource (28 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 24, 2016 erstellt |
Other identifiers: | 10.2139/ssrn.2814482 [DOI] |
Classification: | C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Chapter 6 Forecasting with VARMA Models
Lütkepohl, Helmut, (2006)
-
Implementing optimal control in cointegrated I(1) structural VAR models
Monti, Francesca V., (2003)
-
Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs
Villani, Mattias, (2003)
- More ...
-
A Necessary Moment Condition for the Fractional Functional Central Limit Theorem
Johansen, Soren, (2010)
-
The Role of Initial Values in Nonstationary Fractional Time Series Models
Johansen, Soren, (2012)
-
Testing the CVAR in the Fractional CVAR Model
Johansen, Soren, (2017)
- More ...