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  • Search: subject:"multi-cointegration"
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Year of publication
Subject
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Identification 3 (Multi-)Cointegration 2 I(2) 2 Inventory models 2 Stocks and flows 2 multi-cointegration 2 Cointegration 1 Estimation theory 1 I (d) 1 Inventory model 1 Kointegration 1 Lagerhaltungsmodell 1 Schätztheorie 1 Time series analysis 1 VAR 1 Zeitreihenanalyse 1 limiting Gaussian functional family 1 polynomial cointegration 1 proportional and integral control 1 unit roots 1 vector autoregressive processes 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 3 English 1
Author
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Paruolo, Paolo 4 Mosconi, Rocco 3
Institution
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Facoltà di Economia, Università degli Studi dell'Insubria 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Economics and Quantitative Methods 1 Journal of econometrics 1 MPRA Paper 1 Statistical Methods and Applications 1
Source
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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Rank and order conditions for identification in simultaneous system of cointegrating equations with integrated variables of order two
Mosconi, Rocco; Paruolo, Paolo - Volkswirtschaftliche Fakultät, … - 2014
This paper discusses identification of systems of simultaneous cointegrating equations with integrated variables of order two. Rank and order conditions for identification are provided for general linear restrictions, as well as for equation-by-equation constraints. As expected, the application...
Persistent link: https://www.econbiz.de/10011111635
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Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
Mosconi, Rocco; Paruolo, Paolo - In: Journal of econometrics 198 (2017) 2, pp. 271-276
Persistent link: https://www.econbiz.de/10011818791
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Identification of cointegrating relations in I(2) vector autoregressive models
Paruolo, Paolo; Mosconi, Rocco - Facoltà di Economia, Università degli Studi dell'Insubria - 2010
This paper discusses identification within a new parametrization for I(2) systems, where the integral and proportional control cointegrating relations are not necessarily orthogonal. The new parametrization, while equivalent to previously proposed ones, gives more flexibility in choosing the...
Persistent link: https://www.econbiz.de/10011204471
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The role of the drift in I(2) systems
Paruolo, Paolo - In: Statistical Methods and Applications 3 (1994) 1, pp. 93-123
Persistent link: https://www.econbiz.de/10008591001
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