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/2000/2003

Subjects:

?? long memoryfractional co-integrationmodel predictabilityfinanceeconomics and econometrics ??

Departments:

Lancaster University Management School > Economics

ID Code:

133948

Deposited By:

ep_importer_pure

Deposited On:

28 May 2019 15:17

Refereed?:

Yes

Published?:

Published

Last Modified:

29 Nov 2024 00:32

URI:

https://eprints.lancs.ac.uk/id/eprint/133948