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  • Search: subject:"Triangular representation"
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Year of publication
Subject
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Cointegration 1 Estimation theory 1 Kalman filter 1 Kointegration 1 Regression analysis 1 Regressionsanalyse 1 Schätztheorie 1 Time series analysis 1 Triangular representation 1 Zeitreihenanalyse 1 auto regressive representation 1 co-integration 1 common trends 1 commontrends 1 cycles 1 moving average representation 1 structural time series model 1 triangular representation 1
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Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Franchi, Massimo 1 Harvey, Andrew C 1 Koopman, Siem Jan 1 Paruolo, Paolo 1
Institution
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1
Published in...
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Econometric reviews 1 STICERD - Econometrics Paper Series 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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A general inversion theorem for cointegration
Franchi, Massimo; Paruolo, Paolo - In: Econometric reviews 38 (2019) 10, pp. 1176-1201
Persistent link: https://www.econbiz.de/10012181400
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Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.)
Harvey, Andrew C; Koopman, Siem Jan - Suntory and Toyota International Centres for Economics … - 1996
Much of economic analysis presupposes that certain economic time series can be decomposed into trends and cycles. Structural time series models are explicitly set up in terms of such unobserved components. This paper sets up various multivariate structural time series models, shows how they can...
Persistent link: https://www.econbiz.de/10010720260
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