The cointegrated vector autoregressive model with general deterministic terms
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)=Z(t) Y(t), where Z(t) belongs to a large class of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are X 2 -distributed.
Originalsprog | Engelsk |
---|---|
Tidsskrift | Journal of Econometrics |
Vol/bind | 202 |
Udgave nummer | 2 |
Sider (fra-til) | 214-229 |
ISSN | 0304-4076 |
DOI | |
Status | Udgivet - feb. 2018 |
- Det Samfundsvidenskabelige Fakultet
Forskningsområder
Links
- http://linkinghub.elsevier.com/retrieve/pii/S0304407617302117
Forlagets udgivne version
ID: 222753068