Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations
George Athanasopoulos, Donald S. Poskitt, Farshid Vahid and Wenying Yao
| Year of publication: |
September-October 2016
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|---|---|
| Authors: | Athanasopoulos, George ; Poskitt, Donald Stephen ; Vahid, Farshid ; Yao, Wenying |
| Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 31.2016, 6, p. 1100-1119
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| Subject: | Kointegration | Cointegration | ARMA-Modell | ARMA model | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Leitzins | Key rate | USA | United States | 1958-2011 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Research data: | |
| Other identifiers: | 10.1002/jae.2484 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686292