Cointegrated VARIMA models: specification and simulation.
journal contribution
posted on 2016-12-06, 10:26 authored by J. Gallego, Carlos Diaz VelaIn this note, we show how specify cointegrated vector autoregressive-moving average models and how they can be used to generate cointegrated time series.
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Citation
Communications in Statistics: Simulation and Computation, 2015, 44 (1), pp. 66-70Author affiliation
/Organisation/COLLEGE OF SOCIAL SCIENCES, ARTS AND HUMANITIES/Department of EconomicsVersion
- AM (Accepted Manuscript)
Published in
Communications in Statistics: Simulation and ComputationPublisher
Taylor & Francisissn
0361-0918eissn
1532-4141Acceptance date
2013-01-03Available date
2016-12-06Publisher DOI
Publisher version
http://www.tandfonline.com/doi/abs/10.1080/03610918.2013.765468Notes
Mathematics Subject Classification: Primary 93E15, Secondary 93E03Language
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