On causal and non‐causal cointegrated vector autoregressive time series
Work
Year: 2021
Type: article
Abstract: Previous‐30 treatments of multivariate non‐causal time series have assumed stationarity. In this article, we consider integrated processes in a non‐causal setting. We generalize the Johansen–Granger r... more
Source: Journal of Time Series Analysis
Author Anders Rygh Swensen
Institution University of Oslo
Cites: 27
Cited by: 5
Related to: 10
FWCI: 2.001
Citation percentile (by year/subfield): 59.51
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: hybrid
APC paid (est): $4,020