Abstract
In this paper we deal with structural properties of cointegrated systems in ARMA form, where the integration and cointegration orders are arbitrary. In particular we analyze the relation between the structural properties and the Smith-McMillan form.
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© 2000 Springer-Verlag Berlin Heidelberg
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Deistler, M., Wagner, M. (2000). On the Structure of Cointegration. In: Dockner, E.J., Hartl, R.F., Luptačik, M., Sorger, G. (eds) Optimization, Dynamics, and Economic Analysis. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57684-3_31
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DOI: https://doi.org/10.1007/978-3-642-57684-3_31
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-642-63327-0
Online ISBN: 978-3-642-57684-3
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