Co-integration and common trends analysis with score-driven models : an application to US macroeconomic data Working Papers uri icon

publication date

  • 2019

series title

  • Working paper. Economics

series number

  • 19-08

keywords

  • multivariate dynamic conditional score (DCS) models; robustness to outliers; cointegration; common trends; quasi-vector autoregressive moving average (QVARMA) model