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State Space Representation Of Economic Time Series

State Space Representation Of Economic Time Series

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  • ISBN:9783639188486
  • Editorial: VDM Verlag
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:172
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Cointegration relationships or common trends detection has been undertaken
mainly by VARMA representation of stochastic processes, while the specialized
literature has paid less attention to the state-space modeling, although it
presents computationals and analytical advantages that justify its study. This
paper will focus on the state-space analysis of nonstationarity series. The
justification of the method and its algorithms will be exposed and an
alternative approach to the classical Johansen or Beveridge and Nelson methods
is proposed.

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