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An algebraic interpretation of cointegration

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  • Neusser, Klaus

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  • Neusser, Klaus, 2000. "An algebraic interpretation of cointegration," Economics Letters, Elsevier, vol. 67(3), pages 273-281, June.
    • Handle: RePEc:eee:ecolet:v:67:y:2000:i:3:p:273-281
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    References listed on IDEAS

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    1. Archontakis, F., 1999. "Jordan Matrices on the Equivalence of the I(1) Conditions for VAR Systems," Economics Working Papers eco99/12, European University Institute.
    2. Neusser, Klaus, 1991. "Testing the long-run implications of the neoclassical growth model," Journal of Monetary Economics, Elsevier, vol. 27(1), pages 3-37, February.
    3. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    4. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    5. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
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    Cited by:

    1. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(3), pages 273-305, September.
    2. Neusser, Klaus, 2001. "A Multisectoral Log-Linear Model of Economic Growth with Marshallian Externalities," Journal of Macroeconomics, Elsevier, vol. 23(4), pages 537-564, October.

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