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Published in:
2000 | OriginalPaper | Chapter
On the Structure of Cointegration
Authors : Manfred Deistler, Martin Wagner
Published in: Optimization, Dynamics, and Economic Analysis
Publisher: Physica-Verlag HD
Included in: Professional Book Archive
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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.