Multivariate Time Series with Various Hidden Unit Roots

Gregoir, Stéphane (1999) Multivariate Time Series with Various Hidden Unit Roots: Part II : Estimation and Testing. Econometric Theory, vol. 15 (n° 4). pp. 469-518.

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Official URL: http://tse-fr.eu/pub/30103

Abstract

This paper extends the statistical results obtained by Gregoir and Laroque (1994, Journal of Econometrics 63, 183–214). It develops statistical tools to analyze multivariate time series that can be represented under an autoregressive equation of finite order with various polynomial error correction terms at various frequencies with possibly a non-null deterministic part as introduced by Gregoir (1999, Econometric Theory 15, 435–468). We propose an estimation procedure that proceeds through repeated applications of principal component analysis and a specification test for the omission of a polynomial relation of cointegration at each frequency

Item Type: Article
Sub-title: Part II : Estimation and Testing
Language: English
Date: August 1999
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 12 Feb 2016 14:58
Last Modified: 07 Mar 2018 13:23
OAI ID: oai:tse-fr.eu:30103
URI: http://publications.ut-capitole.fr/id/eprint/19429

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