Modelling of Economic Time Series and the Method of Cointegration
The article is focused on the problem of modelling multidimensional non-stationary cointegrated processes. It is a modern method especially used for the description of multidimensional economic time series. The multidimensional process Yt is called cointegrated with the cointegrating vector ?, if th...
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| Format: | Article |
| Language: | English |
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Austrian Statistical Society
2016-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/377 |