Artikel
Cointegration and error correction mechanisms for singular stochastic vectors
Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q < r. The present paper studies cointegration and error correction representations for an I(1) singular stochastic vector yt . It is easily seen that yt is necessarily cointegrated with cointegrating rank c = r - q. Our contributions are: (i) we generalize Johansen's proof of the Granger representation theorem to I(1) singular vectors under the assumption that yt has rational spectral density; (ii) using recent results on singular vectors by Anderson and Deistler, we prove that for generic values of the parameters the autoregressive representation of yt has a finite-degree polynomial. The relationship between the cointegration of the factors and the cointegration of the observable variables in a large-dimensional factor model is also discussed.
- Sprache
-
Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-23 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Econometrics
- Thema
-
cointegration for singular vectors
Granger representation theorem
large-dimensional dynamic factor models)
singular stochastic vectors
- Ereignis
-
Geistige Schöpfung
- (wer)
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Barigozzi, Matteo
Lippi, Marco
Luciani, Matteo
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
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doi:10.3390/econometrics8010003
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Barigozzi, Matteo
- Lippi, Marco
- Luciani, Matteo
- MDPI
Entstanden
- 2020
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