haku: @indexterm cointegration / yhteensä: 76
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| Tekijä: | Comte, F. |
| Otsikko: | Discrete and continuous time cointegration |
| Lehti: | Journal of Econometrics
1999 : FEB, VOL. 88:2, p. 207-226 |
| Asiasana: | Cointegration Unit roots Models Econometrics Economic theory |
| Kieli: | eng |
| Tiivistelmä: | In the paper, a definition is given of integration and cointegration in continuous time and study characterizations of those definitions, in particular for CARMA (continuous time ARMA) processes. Also checked are such singularities in CARMA processes that may imply unit roots problems in the discretized corresponding process. Then, error correction representations in continuous time are exhibited and discussed, and general theorem of representation giving a precise description of the singularities is proved. Finally, other singularities are examined that emphasize the importance of estimating the continuous time model if it is the true one: a one-dimensional noise can generate a two-dimensional regular AR process. |
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