Arbeitspapier
On an Estimation Method for an Alternative Fractionally Cointegrated Model
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following the ideas in Carlini and Santucci de Magistris (2014) for the model of Johansen (2008, 2009). We propose a 4-step estimation procedure that is based on the switching algorithm employed in Carlini and Mosconi (2014) and the GLS procedure in Mosconi and Paruolo (2014). The proposed procedure provides estimates of the long run parameters of the fractionally cointegrated system that are consistent and unbiased, which we demonstrate by a Monte Carlo experiment.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 14-052/III
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Error correction model
Gaussian VAR model
Fractional Cointegration
Estimation algorithm
Maximum likelihood estimation
Switching Algorithm
Reduced Rank Regression
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Carlini, Federico
Lasak, Katarzyna
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Carlini, Federico
- Lasak, Katarzyna
- Tinbergen Institute
Entstanden
- 2014
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