Cointegration in singular ARMA models

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dc.contributor.authorDeistler, Manfred
dc.contributor.authorWagner, Martin
dc.date.accessioned2017-02-03T11:14:06Z
dc.date.available2017-02-03T11:14:06Z
dc.date.issued2017
dc.description.abstractWe 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.identifier.urihttp://hdl.handle.net/2003/35778
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-17804
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;5, 2017en
dc.subjectcointegrationen
dc.subjectsingular ARMA systemsen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.subject.rswkCointegrationen
dc.subject.rswkARMA-Modellde
dc.titleCointegration in singular ARMA modelsen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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