An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis

This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and methods of the paper are illustrated via an empirical investigation of the low-frequency properties of hours worked in the US

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Year of publication:	2014
Authors:	Cubadda, Gianluca
Other Persons:	Triacca, Umberto (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory \| Metallmarkt \| Metal market

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Extent:	1 Online-Ressource (9 p)
Series:	CEIS Working Paper ; No. 184
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 31, 2011 erstellt
Other identifiers:	10.2139/ssrn.1752256 [DOI]
Classification:	C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013068684