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Forecasting cointegrated VARMA processes

Lütkepohl, Helmut - 1999

Persistent link: https://www.econbiz.de/10009581104

Estimating the Kronecker indices of cointegrated echelon form VARMA models

Bartel, Holger; Lütkepohl, Helmut - 1997

Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating...

Persistent link: https://www.econbiz.de/10009630541

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - 2001

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

Persistent link: https://www.econbiz.de/10009614295

Multiplicative SARIMA models

Chen, Rong; Schulz, Rainer; Stephan, Sabine - 2002

Persistent link: https://www.econbiz.de/10009621411

A generalized fractional time series model

Gil-Alaña, Luis A. - 2000

We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...

Persistent link: https://www.econbiz.de/10009612016

Sources of German unemployment : a structural vector error correction analysis

Brüggemann, Ralf - 2001

parameter restrictions. A cointegration analysis for the unified Germany reveals a long rum relationship between real wages … ; Cointegration …

Persistent link: https://www.econbiz.de/10009613616

Testing for the cointegrating rank of a VAR process with level shift at unknown time

Lütkepohl, Helmut; Saikkonen, Pentti; Trenkler, Carsten - 2001

A systems cointegration rank test is proposed which is applicable for vector autoregressive (VAR) processes with a … econometric analyses. -- Cointegration ; structural break ; vector autoregressive process ; error correction model …

Persistent link: https://www.econbiz.de/10009614873

Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration … three variables are I(1). But we only find cointegration in the presence of autocorrelated disturbances, which means that … opposed to classical cointegration, which implies long memory and slow reversion to equilibrium. This suggests that an …

Persistent link: https://www.econbiz.de/10009614880

Stability results for nonlinear vector autoregressions with an application to a nonlinear error correction model

Saikkonen, Pentti - 2001

This paper improves previous sufficient conditions for stationarity obtained in the context of a general nonlinear vector autoregressive model with nonlinear autoregressive conditional heteroskedasticity. The results are proved by using the stability theory developed for Markov chains....

Persistent link: https://www.econbiz.de/10009616775