Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Deistler, Manfred | - |
dc.contributor.author | Wagner, Martin | - |
dc.date.accessioned | 2017-02-03T11:14:06Z | - |
dc.date.available | 2017-02-03T11:14:06Z | - |
dc.date.issued | 2017 | - |
dc.identifier.uri | http://hdl.handle.net/2003/35778 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17804 | - |
dc.description.abstract | We consider the cointegration properties of singular ARMA processes integrated of order one. Such processes are necessarily cointegrated as opposed to the regular case. We show that in the left coprime case the cointegrating space only depends upon the autoregressive polynomial at one. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;5, 2017 | en |
dc.subject | cointegration | en |
dc.subject | singular ARMA systems | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Cointegration in singular ARMA models | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dc.subject.rswk | Cointegration | en |
dc.subject.rswk | ARMA-Modell | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_0517_SFB823_Deistler_Wagner.pdf | DNB | 233.77 kB | Adobe PDF | View/Open |
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