Similar Search Results

Lütkepohl, Helmut - 2006

Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...

Persistent link: https://www.econbiz.de/10014023700

Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Leslie T. - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10014191117

Studying co-movements in large multivariate models without multivariate modelling

Cubadda, Gianluca; Hecq, Alain W. J.; Palm, Franz C. - 2007

Persistent link: https://www.econbiz.de/10003647580

Studying co-movements in large multivariate data prior to multivariate modelling

Cubadda, Gianluca; Hecq, Alain W. J.; Palm, Franz C. - In: Journal of econometrics 148 (2009) 1, pp. 25-35

Persistent link: https://www.econbiz.de/10003813089

Cointegrated VARMA Models and Forecasting US Interest Rates

Kascha, Christian - 2012

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...

Persistent link: https://www.econbiz.de/10013113593

Cointegrated VARMA models and forecasting US interest rates

Kascha, Christian; Trenkler, Carsten - 2011

generates forecasts superior to methods which do not allow for moving-average terms. -- Cointegration ; VARMA Models …

Persistent link: https://www.econbiz.de/10009740153

Estimating the Kronecker Indices of Cointegrated Echelon-Form Varma Models

Bartel, Holger; Luetkepohl, Helmut - 1999

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 echelon-form VARMA models are discussed and compared. The three methods are expected to work even for non-stationary...

Persistent link: https://www.econbiz.de/10014197188

Cointegrated VARMA models and forecasting US interest rates

Kascha, Christian; Trenkler, Carsten - 2011

Persistent link: https://www.econbiz.de/10009491985

The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

, organized in a panel data structure. In this paper, we investigate the consequences of applying such methodologies when the data … are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

Persistent link: https://www.econbiz.de/10011579472

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10003633683

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