A unifying framework for analysing common cyclical features in cointegrated time series
نویسندگان
چکیده
منابع مشابه
A unifying framework for analysing common cyclical features in cointegrated time series
This paper provides a unifying framework in which the coexistence of different form of common cyclical features can be tested and imposed to a cointegrated VAR model. This goal is reached by introducing a new notion of common cyclical features, namely the weak form of polynomial serial correlation common features, which encompasses most of the previous ones. Statistical inference is obtained by...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2007
ISSN: 0167-9473
DOI: 10.1016/j.csda.2007.07.004