Publications in Scientific Journals:
M. Deistler, M. Wagner:
"Cointegration in Singular ARMA Models";
Economics Letters,
Volume 155
(2017),
39
- 42.
English 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.
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.1016/j.econlet.2017.03.001
Created from the Publication Database of the Vienna University of Technology.