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- W3123930651 abstract "This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these definitions the major part of the paper discusses how state space models, which are equivalent to VARMA models, can be fruitfully employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1) and I(2) cases, a canonical representation is developed and thereafter some available statistical results are briefly mentioned." @default.
- W3123930651 created "2021-02-01" @default.
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- W3123930651 date "2010-02-01" @default.
- W3123930651 modified "2023-09-27" @default.
- W3123930651 title "Cointegration Analysis with State Space Models" @default.
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