6533b828fe1ef96bd1288064
RESEARCH PRODUCT
La décomposition canonique et la cointégration
Zaka Ratsimalahelosubject
MathématiquesError correction modelCommon trendStatistics[ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST]Intégration dynamiqueOperations researchDynamic aggregationState space[MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]MathematicsEspace étatdescription
This paper has introduced state space models for cointegrated time series. In doing so, the notion of cointegration is slightly generalized. We develop the notion of dynamic aggregation link with error correction model and common trends.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 1994-01-01 |