Artikel

Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models

A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptotically stationary. It is found that this result holds for the linear combination of the trend that appears in the observation equation. If identifying restrictions are imposed on either the trend or its coefficients in the linear observation equation, it is shown that there is cointegration between the identified trend and its estimator, if and only if the estimators of the coefficients in the observation equations are consistent at a faster rate than the square root of sample size. The same results are found if the observations from the state space model are analysed using a cointegrated vector autoregressive model. The findings are illustrated by a small simulation study.

Language
Englisch

Bibliographic citation
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 5 ; Year: 2017 ; Issue: 3 ; Pages: 1-46 ; Basel: MDPI

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Subject
cointegration of trends
state space models
cointegrated vector autoregressive models

Event
Geistige Schöpfung
(who)
Johansen, Søren
Tabor, Morten Nyboe
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2017

DOI
doi:10.3390/econometrics5030036
Handle
Last update
10.03.2025, 11:45 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Johansen, Søren
  • Tabor, Morten Nyboe
  • MDPI

Time of origin

  • 2017

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