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THE COINTEGRATION PROPERTIES OF VECTOR AUTOREGRESSION MODELS
Author(s) -
Davidson James
Publication year - 1991
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1991.tb00067.x
Subject(s) - cointegration , vector autoregression , citation , autoregressive model , library science , econometrics , history , mathematics , computer science