Abstract
A simple proof is given for a theorem concerning the first difference and some linear functions of a cointegrated autoregressive process being stationary.
Information
Published: 1 January 2004
First available in Project Euclid: 28 November 2007
zbMATH: 1268.62104
MathSciNet: MR2126912
Digital Object Identifier: 10.1214/lnms/1196285405
Subjects:
Primary:
62P20
Secondary:
60G12
Keywords:
autoregressive process
,
error correction form
,
stationarity
Rights: Copyright © 2004, Institute of Mathematical Statistics
