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Cointegration in VAR(1) process: Characterization and testing

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  • Umberto Triacca

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  • Umberto Triacca, 2002. "Cointegration in VAR(1) process: Characterization and testing," Statistical Papers, Springer, vol. 43(3), pages 435-443, July.
    • Handle: RePEc:spr:stpapr:v:43:y:2002:i:3:p:435-443
    DOI: 10.1007/s00362-002-0114-y
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    References listed on IDEAS

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    1. Favero, Carlo A & Giavazzi, Francesco & Spaventa, Luigi, 1997. "High Yields: The Spread on German Interest Rates," Economic Journal, Royal Economic Society, vol. 107(443), pages 956-985, July.
    2. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    3. Triacca, Umberto, 2000. "Cointegration And Distance Between Information Sets," Econometric Theory, Cambridge University Press, vol. 16(1), pages 102-111, February.
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    Cited by:

    1. Njenga Carolyn N & Sherris Michael, 2011. "Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(2), pages 1-54, July.

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