Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/38836
Title: Cointegrated VARIMA models: specification and simulation.
Authors: Gallego, J.
Diaz Vela, Carlos
First Published: 23-Sep-2013
Publisher: Taylor & Francis
Citation: Communications in Statistics: Simulation and Computation, 2015, 44 (1), pp. 66-70
Abstract: In this note, we show how specify cointegrated vector autoregressive-moving average models and how they can be used to generate cointegrated time series.
DOI Link: 10.1080/03610918.2013.765468
ISSN: 0361-0918
eISSN: 1532-4141
Links: http://www.tandfonline.com/doi/abs/10.1080/03610918.2013.765468
http://hdl.handle.net/2381/38836
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Creative Commons “Attribution Non-Commercial No Derivatives” licence CC BY-NC-ND, further details of which can be found via the following link: http://creativecommons.org/licenses/by-nc-nd/4.0/ Archived with reference to SHERPA/RoMEO and publisher website.
Description: Mathematics Subject Classification: Primary 93E15, Secondary 93E03
Appears in Collections:Published Articles, Dept. of Economics

Files in This Item:
File Description SizeFormat 
ciVARMA2.pdfPost-review (final submitted author manuscript)93.81 kBAdobe PDFView/Open


Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.