THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS-Reference-Cited by-同舟云学术

THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS

Published:2008-06-28 Issue:1 Volume:12 Page:41-62
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:

Author:

Davidson James

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.1991.tb00067.x/fullpdf

Reference16 articles.

1. Davidson , J. 1988 The cointegration properties of VAR models. Discussion Paper. Department of Economics, University of California at San Diego, September

2. Davidson , J. Hall , S. 1989 Cointegration in recursive systems:the structure of wage and price determination in the United Kingdom. Economic Journal

3. Co-integration and error correction:representation, estimation and testing.;Engle;Econometrica,1987

4. Forecasting and testing in cointegrated systems.;Engle;J. Economet.,1987

5. Escribano , A. 1987 Cointegration, time co-trends and error correction systems:an alternative approach. CORE Discussion Paper 8715, Université Catholique de Louvain

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