### Estimation and testing of cointegration relationships with strongly seasonal monthly data

Emilio Caminero, Ignacio Díaz-Emparanza (1997)

Kybernetika

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Emilio Caminero, Ignacio Díaz-Emparanza (1997)

Kybernetika

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Gonçalves, E., Martins, C.M., Mendes-Lopes, N. (2000)

Portugaliae Mathematica

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Martins, C.M. (1999)

Portugaliae Mathematica

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Biondini, Riccardo, Lin, Yan-Xia, McCrae, Michael (2003)

Journal of Applied Mathematics and Decision Sciences

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Hu, Hongchang (2010)

Mathematical Problems in Engineering

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Jaroslav Hájek (1958)

Czechoslovak Mathematical Journal

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Petr Zvára (2004)

Kybernetika

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A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.

Huang, Weihong (2002)

Discrete Dynamics in Nature and Society

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