Cointegrated VARIMA Models: specification and simulation

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URI: http://hdl.handle.net/10902/10853
ISSN: 0361-0918
ISSN: 1532-4141
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Autoría
Gallego Gómez, José LuisAutoridad Unican; Díaz Vela, Carlos
Fecha
2015
Derechos
© Taylor & Francis. This is an Accepted Manuscript of an article published by Taylor & Francis in Communications in Statistics- Simulation and Computation on 2015, available online: http://wwww.tandfonline.com/dx.doi.org/10.1080/03610918.2013.765468
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Communications in Statistics- Simulation and Computation, 2015, 44(1), 66-70
Editorial
Taylor and Francis Inc.
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Resumen/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.
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