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Cointegrated VARIMA models: specification and simulation.

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journal contribution
posted on 06.12.2016, 10:26 by J. Gallego, Carlos Diaz Vela
In this note, we show how specify cointegrated vector autoregressive-moving average models and how they can be used to generate cointegrated time series.

History

Citation

Communications in Statistics: Simulation and Computation, 2015, 44 (1), pp. 66-70

Author affiliation

/Organisation/COLLEGE OF SOCIAL SCIENCES, ARTS AND HUMANITIES/Department of Economics

Version

AM (Accepted Manuscript)

Published in

Communications in Statistics: Simulation and Computation

Publisher

Taylor & Francis

issn

0361-0918

eissn

1532-4141

Acceptance date

03/01/2013

Available date

06/12/2016

Publisher version

http://www.tandfonline.com/doi/abs/10.1080/03610918.2013.765468

Notes

Mathematics Subject Classification: Primary 93E15, Secondary 93E03

Language

en

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