Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model
Year of publication: |
2019
|
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Authors: | Yao, Xingzhi ; Izzeldin, Marwan ; Li, Zhenxiong |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 181.2019, p. 160-163
|
Subject: | Fractional co-integration | Long memory | Model predictability | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Kointegration | Cointegration | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | ARMA-Modell | ARMA model |
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