Cointegration in singular ARMA models

C-Tier
Journal: Economics Letters
Year: 2017
Volume: 155
Issue: C
Pages: 39-42

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We consider the cointegration properties of singular ARMA processes integrated of order one. Such processes are necessarily cointegrated as opposed to the regular case. We show that in the left coprime case the cointegrating space only depends upon the autoregressive polynomial at one.

Technical Details

RePEc Handle
repec:eee:ecolet:v:155:y:2017:i:c:p:39-42
Journal Field
General
Author Count
2
Added to Database
2026-01-29