Cointegration in singular ARMA models

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.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.identifier.uri	http://hdl.handle.net/2003/35778
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-17804
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.subject.rswk	Cointegration	en
dc.subject.rswk	ARMA-Modell	de
dc.title	Cointegration in singular ARMA models	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access
eldorado.dnb.deposit	true	de

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