Johansen (1988) introduced the concept of cointegrating space in the case for I(1) VAR processes, discussing its connection to the identification problem of a system of cointegrating relations. This paper discusses the corresponding definition for higher order systems, discussing its connection to the identification problem of a relevant system of cointegrating relations.
Cointegrating Spaces / Franchi, Massimo; Paruolo, Paolo. - (2018).
Cointegrating Spaces
Massimo Franchi;
2018
Abstract
Johansen (1988) introduced the concept of cointegrating space in the case for I(1) VAR processes, discussing its connection to the identification problem of a system of cointegrating relations. This paper discusses the corresponding definition for higher order systems, discussing its connection to the identification problem of a relevant system of cointegrating relations.File allegati a questo prodotto
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