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      <record key="001" att1="001" value="179912" att2="179912">001   179912</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-248.pdf</field>
      <field key="079" subkey="z">Wagner, Martin, Cointegration Analysis with State Space Models (pdf)</field>
      <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/248.html</field>
      <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 248 (RePEc)</field>
      <field key="100" subkey="">Wagner, Martin</field>
      <field key="103" subkey="">Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria and Frisch Centre for Economic Research,</field>
      <field key="Osl" subkey="o">, Norway</field>
      <field key="331" subkey="">Cointegration Analysis with State Space Models</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Wien</field>
      <field key="412" subkey="">Institut für Höhere Studien</field>
      <field key="425" subkey="">2010, February</field>
      <field key="433" subkey="">30 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 248</field>
      <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Assoc. Ed.) ; Ritzberger, Klaus (Assoc. Ed.)</field>
      <field key="461" subkey="">Economics Series</field>
      <field key="517" subkey="c">from the Table of Contents: Introduction; Unit Roots and Cointegration; Cointegration Analysis with State Space Models; Open</field>
      <field key="Iss" subkey="u">es, Summary and Conclusions; Acknowledgements; References;</field>
      <field key="542" subkey="">1605-7996</field>
      <field key="544" subkey="">IHSES 248</field>
      <field key="700" subkey="">C13</field>
      <field key="700" subkey="">C32</field>
      <field key="720" subkey="">State space models</field>
      <field key="720" subkey="">Unit roots</field>
      <field key="720" subkey="">Cointegration</field>
      <field key="720" subkey="">Polynomial cointegration</field>
      <field key="720" subkey="">Pseudo maximum likelihood estimation</field>
      <field key="720" subkey="">Subspace algorithms</field>
      <field key="753" subkey="">Abstract: This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and</field>
      <field key="Wag" subkey="n">er in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these</field>
      <field key="def" subkey="i">nitions the major part of the paper discusses how state space models, which are equivalent to VARMA models, can be fruitfully</field>
      <field key="emp" subkey="l">oyed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1)</field>
      <field key="and" subkey="">I(2) cases, a canonical representation is developed and thereafter some available statistical results are briefly mentioned.;</field>
    </SEQUENTIAL>
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