2008•Journal of EconometricsOpen access

Studying co-movements in large multivariate data prior to multivariate modelling

Gianluca Cubadda, Alain Hecq, Franz C. Palm

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Key concepts: Univariate, Autoregressive integrated moving average, Autoregressive model, Econometrics, Multivariate statistics, Cointegration, Vector autoregression, Mathematics

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