Authors: Deistler, Manfred
Wagner, Martin
Title: Cointegration in singular ARMA models
Language (ISO): en
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.
Subject Headings: cointegration
singular ARMA systems
Subject Headings (RSWK): Cointegration
Issue Date: 2017
Appears in Collections:Sonderforschungsbereich (SFB) 823

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