State Space Modelling of Cointegrated Systems using Subspace Algorithms
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References listed on IDEAS
- Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
- Bauer, Dietmar & Wagner, Martin, 2002.
"Estimating cointegrated systems using subspace algorithms,"
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Elsevier, vol. 111(1), pages 47-84, November.
- Dietmar Bauer & Martin Wagner, 2000. "Estimating Cointegrated Systems Using Subspace Algorithms," Econometric Society World Congress 2000 Contributed Papers 0293, Econometric Society.
- José Mondéjar Jiménez & Manuel Vargas Vargas, 2006. "Análisis de tendencias comunes y cointegración en espacio de estados," Contribuciones a la Economía, Servicios Académicos Intercontinentales SL, issue 2006-09, September.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
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- Dietmar Bauer & Martin Wagner, 2003. "The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study," Diskussionsschriften dp0308, Universitaet Bern, Departement Volkswirtschaft.
More about this item
Keywordssystem identification; state space; subspace; cointegration; CCA;
- 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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