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.
- Language
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Englisch
- Bibliographic citation
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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)
- Classification
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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
- Subject
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Time series
unit root
cointegration
error correction
model identification
Smith form
- Event
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Geistige Schöpfung
- (who)
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Arbués, Ignacio
Ledo, Ramiro
Matilla-García, Mariano
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
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Kiel
- (when)
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2016
- DOI
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doi:10.5018/economics-ejournal.ja.2016-26
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Arbués, Ignacio
- Ledo, Ramiro
- Matilla-García, Mariano
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2016
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Data-based priors for vector error correction models
Error Correction based on Error Signatures applied to automatic speech recognition
Determination of vector error correction models in high dimensions
Sources of German Unemployment: A Structural Vector Error Correction Analysis
Sources of German unemployment: A structural vector error correction analysis
Stochastic model specification in Markov switching vector error correction models
Interest rate pass-through: A nonlinear vector error-correction approach
Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
Likelihood based inference for an Identifiable Fractional Vector Error Correction Model
Automatic identification of general vector error correction models
Automatic identification of general vector error correction models
Automatic design error correction of combinational circuits
Data-based priors for vector error correction models
Error Correction based on Error Signatures applied to automatic speech recognition
Determination of vector error correction models in high dimensions
Sources of German Unemployment: A Structural Vector Error Correction Analysis
Sources of German unemployment: A structural vector error correction analysis
Stochastic model specification in Markov switching vector error correction models
Interest rate pass-through: A nonlinear vector error-correction approach
Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models