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

Autor:	Marwan Izzeldin, Zhenxiong Li, Xingzhi Yao
Rok vydání:	2019
Předmět:	Economics and Econometrics Autoregressive model Long memory Inference Applied mathematics Filtration technique Finance Vector autoregression Mathematics Variable (mathematics)
Zdroj:	Economics Letters. 181:160-163
ISSN:	0165-1765
DOI:	10.1016/j.econlet.2019.05.031
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::11ef83a57b398cdeef212d9108fea179 https://doi.org/10.1016/j.econlet.2019.05.031 Zobrazit plný text záznamu Full Text from ScienceDirect