A characterization of vector autoregressive processes with common cyclical features
نویسندگان
چکیده
منابع مشابه
A Representation of Vector Autoregressive Processes with Common Cycles
VECTOR AUTOREGRESSIVE PROCESSES WITH COMMON CYCLES MASSIMO FRANCHI & PAOLO PARUOLO JANUARY 7, 2009 Abstract. We give necessary and su cient conditions on the autoregressive polynomial for the existence of (possibly polynomial-) serial correlation common features as well as for other forms of common cycles. We characterize the resulting moving average representations. These conditions allow to d...
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We are grateful to Bernard Hanzon for helpful comments. The research for this paper was carried out within Sonderforschungsbereich 373 at the Humboldt University Berlin and was printed using funds made available by the Deutsche Forschungsgemeinschaft.
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2011
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2010.11.009