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.
- Language
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Englisch
- Bibliographic citation
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-23 ; Basel: MDPI
- Classification
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Wirtschaft
Econometrics
- Subject
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cointegration for singular vectors
Granger representation theorem
large-dimensional dynamic factor models)
singular stochastic vectors
- Event
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Geistige Schöpfung
- (who)
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Barigozzi, Matteo
Lippi, Marco
Luciani, Matteo
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2020
- DOI
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doi:10.3390/econometrics8010003
- Handle
- Last update
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10.03.2025, 11:43 AM CET
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
- Barigozzi, Matteo
- Lippi, Marco
- Luciani, Matteo
- MDPI
Time of origin
- 2020
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