Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model

Yao, Xingzhi and Izzeldin, Marwan and Li, Zhenxiong (2019) Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model. Economics Letters, 181. pp. 160-163. ISSN 0165-1765

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Abstract

We propose a filtration technique for making inference in systems with I (0) and I (d) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I (0) variable are demonstrated using simulations.

Item Type:
Journal Article
Journal or Publication Title:
Economics Letters
Additional Information:
This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 18, 2019 DOI: 10.1016/j.econlet.2019.05.031
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2002
Subjects:
ID Code:
133948
Deposited By:
Deposited On:
28 May 2019 15:17
Refereed?:
Yes
Published?:
Published
Last Modified:
31 Mar 2020 06:17