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Ditemukan 1 dari pencarian Anda melalui kata kunci: author=Robert F. Engle

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CO-INTEGRATION AND ERROR CORRECTION: REPRESENTATION, ESTIMATION, AND TESTING

The relationship between co-integration and error correction models, first suggested in Granger (1981), is here extended and used to develop estimation procedures, tests, and empirical examples. If each element of a vector of time series x, first achieves stationarity after differencing, but a linear combination a'x, is already stationary, the time series x, are said to be co-integrated with co…

Edisi: Vol. 55, No. 2 (March, 1987), 251-276
ISBN/ISSN: -
Deskripsi Fisik: 27 p.
Judul Seri: CO-INTEGRATION AND ERROR CORRECTION
No. Panggil: ATC LO ENG c

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