Cointegration and error correction mechanisms for singular stochastic vectors
Year of publication: |
2020
|
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Authors: | Barigozzi, Matteo ; Lippi, Marco ; Luciani, Matteo |
Published in: |
Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 8.2020, 1, p. 1-23
|
Publisher: |
Basel : MDPI |
Subject: | cointegration for singular vectors | Granger representation theorem | large-dimensional dynamic factor models) | singular stochastic vectors |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.3390/econometrics8010003 [DOI] 1690030992 [GVK] hdl:10419/247552 [Handle] |
Classification: | C0 - Mathematical and Quantitative Methods. General ; C01 - Econometrics ; E0 - Macroeconomics and Monetary Economics. General |
Source: |
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Cointegration and error correction mechanisms for singular stochastic vectors
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