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Search: subject:"partially nonstationary"
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partially nonstationary
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ARMAX
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Cointegration
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Kronecker index theory identification
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full rank maximum likelihood estimator
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least squares estimator
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reduced rank MLE
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vector AR-GARCH model
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Li, W.
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Ling, Shiqing
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Poskitt, D. S.
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Wong, Heung
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Department of Econometrics and Business Statistics, Monash Business School
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Annals of the Institute of Statistical Mathematics
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On The Identification and Estimation of
Partially
Nonstationary
ARMAX Systems
Poskitt, D. S.
-
Department of Econometrics and Business Statistics, …
-
2004
analysis of unit-root,
partially
nonstationary
(cointegrated) time series models is also presented, leading to straightforward …
Persistent link: https://www.econbiz.de/10005149123
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2
Joint modeling of cointegration and conditional heteroscedasticity with applications
Wong, Heung
;
Li, W.
;
Ling, Shiqing
- In:
Annals of the Institute of Statistical Mathematics
57
(
2005
)
1
,
pp. 83-103
Persistent link: https://www.econbiz.de/10005184640
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