Cointegration analysis with state space models
AStA Advances in Statistical Analysis, 2010, vol. 94, issue 3, 273-305
Keywords: State space models; Unit roots; Cointegration; Polynomial cointegration; Pseudo maximum likelihood estimation; Subspace algorithms (search for similar items in EconPapers)
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Working Paper: Cointegration Analysis with State Space Models (2010)
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