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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
Authorship: Gallego J., Díaz C.,
Fuente: Communications in Statistics Part B: Simulation and Computation, 2015, 44(1), 66-70
Publisher: Taylor and Francis Inc.
Year of publication: 2015
No. of pages: 9
Publication type: Article
DOI: 10.1080/03610918.2013.765468
ISSN: 0361-0918,1532-4141
Publication Url: https://doi.org/10.1080/03610918.2013.765468
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JOSE LUIS GALLEGO GOMEZ
CARLOS DIAZ VELA
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