Artikel
Automatic identification of general vector error correction models
There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Vector Error Correction models related to these situations. The authors propose a unified theoretical and practical framework to deal with many of these situations. To this aim: (i) they introduce a general class of models and (ii) provide an automatic method to identify models, based on estimating the Smith form of an autoregressive model. Their simulations suggest the power of the new proposed methodology. An empirical example illustrates the methodology.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 10 ; Year: 2016 ; Issue: 2016-26 ; Pages: 1-41 ; Kiel: Kiel Institute for the World Economy (IfW)
Klassifikation
Wirtschaft
Econometrics
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Econometrics
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Model Evaluation, Validation, and Selection
Thema
Time series
unit root
cointegration
error correction
model identification
Smith form
unit root
cointegration
error correction
model identification
Smith form
Ereignis
Geistige Schöpfung
(wer)
Arbués, Ignacio
Ledo, Ramiro
Matilla-García, Mariano
Ledo, Ramiro
Matilla-García, Mariano
Ereignis
Veröffentlichung
(wer)
Kiel Institute for the World Economy (IfW)
(wo)
Kiel
(wann)
2016
- DOI
-
doi:10.5018/economics-ejournal.ja.2016-26
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:24 MESZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Arbués, Ignacio
- Ledo, Ramiro
- Matilla-García, Mariano
- Kiel Institute for the World Economy (IfW)
Entstanden
- 2016
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