Determination of Long‐run and Short‐run Dynamics in EC‐VARMA Models via Canonical Correlations

George Athanasopoulos (), Donald Poskitt, Farshid Vahid and Wenying Yao

Journal of Applied Econometrics, 2016, vol. 31, issue 6, 1100-1119

Date: 2016
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Working Paper: Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations (2014)
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