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Cointegrated VARIMA Models: Specification and Simulation |
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| Authors: | José L Gallego Carlos Díaz |
| Institution: | Departamento de Economía, Universidad de Cantabria, Santander, Spain |
| Abstract: | In this note, we show how specify cointegrated vector autoregressive-moving average models and how they can be used to generate cointegrated time series. |
| Keywords: | Cointegration Simulation VARIMA models |