Cointegrated VARIMA Models: Specification and Simulation
نویسندگان
چکیده
In this note we show how specify cointegrated vector autoregressive-moving average models and how they can be used to generate cointegrated time series.
منابع مشابه
Cointegrated VARMA Models and Forecasting US Interest Rates
We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final moving representation which is usually simpler but not as parsimonious than the usual Echelon form. Furt...
متن کاملEstimating the Kronecker Indices of Cointegrated Echelon Form Varma Models
Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three diierent methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating the individual equations of the system separately and using order selection criteria. The small sampl...
متن کاملAggregation analysis in empirical multivariate dynamic models*
The paper analyses the aggregation problem when the micro relations consist of multivariate specifications. We focus on a generalization of the model selection criterion proposed in the previous literature for discriminating between aggregate and disaggregate models. In addition, we extend the model selection problem in forecasting aggregate variables out of sample. Both the stationary and coin...
متن کاملSpecification Testing in Structural Nonparametric Cointegration
This paper proposes two simple and new specification tests based on the use of an orthogonal series for a considerable class of cointegrated time series models with endogeneity and nonstationarity. The paper then establishes an asymptotic theory for each of the proposed tests. The first test is initially proposed for the case where the regression function involved is integrable, which fills a g...
متن کاملError correction models for fractionally cointegrated time series
This note provides a proof of Granger's (1986) error correction model for fractionally cointegrated variables and points out a necessary assumption that has not been noted before. Moreover, a simpler, alternative error correction model is proposed which can be employed to estimate fractionally cointegrated systems in three steps. JEL Classification Code: C32
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 44 شماره
صفحات -
تاریخ انتشار 2015