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 ARMA-Modell |
URI: | http://hdl.handle.net/2003/35778 http://dx.doi.org/10.17877/DE290R-17804 |
Issue Date: | 2017 |
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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