An asymptotic invariance property of the common trends under linear transformations of the data
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References listed on IDEAS
- Giese, Julia V., 2008.
"Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy (IfW), vol. 2, pages 1-20.
- Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics Discussion Papers 2008-13, Kiel Institute for the World Economy (IfW).
- Søren Johansen, 2009. "Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 121-145.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Søren Johansen, 2018. "Cointegration and adjustment in the infinite order CVAR representation of some partially observed CVAR(1) models," Discussion Papers 18-05, University of Copenhagen. Department of Economics.
- Søren Johansen & Morten Nyboe Tabor, 0703.
"Cointegration between trends and their estimators in state space models and CVAR models,"
CREATES Research Papers
2017-11, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Morten Nyboe Tabor, 2017. "Cointegration between trends and their estimators in state space models and CVAR models," Discussion Papers 17-02, University of Copenhagen. Department of Economics.
- repec:eee:ecolet:v:165:y:2018:i:c:p:73-76 is not listed on IDEAS
- Katarina Juselius, 2018. "Searching for a theory that fits the data: A personal research odyssey," Discussion Papers 18-07, University of Copenhagen. Department of Economics.
- repec:gam:jecnmx:v:5:y:2017:i:3:p:36-:d:109242 is not listed on IDEAS
More about this item
KeywordsCointegration vectors; Common trends; Prediction errors;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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