Representations of I(2) cointegrated systems using the Smith-McMillan form
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 84 (1998)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/jeconom
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- Massimo Franchi & Paolo Paruolo, 2011. "Normal forms of regular matrix polynomials via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2011/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Dietmar Bauer & Martin Wagner, 2003. "On Polynomial Cointegration in the State Space Framework," Diskussionsschriften dp0313, Universitaet Bern, Departement Volkswirtschaft.
- 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.
- Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
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