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Neusser, Klaus - 2016

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Analysis of integrated and cointegrated time series with R

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Time Series Econometrics

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the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best … VAR Models -- 13. Forecasting with VAR Models -- 14. Interpretation of VAR Models -- 15. Co-integration -- 16. The Kalman …

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Fractional integration and cointegration

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Cointegrated dynamics for a generalized long memory process : application to interest rates

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Chapter 6 Forecasting with VARMA Models

Lütkepohl, Helmut - 2006

Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...

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