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Multivariate Time Series: A Polynomial Error Correction Representation Theorem

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  • Gregoir, Stéphane
  • Laroque, Guy

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 9 (1993)
Issue (Month): 03 (June)
Pages: 329-342

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Handle: RePEc:cup:etheor:v:9:y:1993:i:03:p:329-342_00

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Cited by:
  1. Antoine d'Autume, 1992. "Coïntégration et modèles dynamiques," Économie et Prévision, Programme National Persée, vol. 106(5), pages 71-83.
  2. Breitung, Jörg, 1998. "On model based seasonal adjustment procedures," SFB 373 Discussion Papers 1998,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  3. Banerjee, A. & Russell, B., 1999. "The Relationship Between the Markup and Inflation in the G7 Plus One Economies," Economics Series Working Papers 99205, University of Oxford, Department of Economics.
  4. Anindya Banerjee & Lynne Cockerell & Bill Russell, 2001. "An I(2) analysis of inflation and the markup," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 221-240.
  5. Pierre Malgrange & Catherine Doz, 1992. "Modèles VAR et prévisions à court terme," Économie et Prévision, Programme National Persée, vol. 106(5), pages 109-122.
  6. Fragiskos Archontakis, 1998. "An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices," Statistical Methods and Applications, Springer, vol. 7(2), pages 111-127, August.
  7. Paolo Paruolo, 1994. "The role of the drift in I(2) systems," Statistical Methods and Applications, Springer, vol. 3(1), pages 93-123, February.
  8. Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.

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