Estimation of partially nonstationary vector autoregressive models with seasonal behavior

DOI10.1016/0304-4076(94)90027-2zbMath0808.62078OpenAlexW1999697390MaRDI QIDQ1329134

Gregory C. Reinsel, Sung K. Ahn

Publication date: 16 March 1995

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90027-2

zbMATH Keywords

asymptotic propertiesBrownian motionerror correction modelseasonal cointegrationGaussian reduced rank estimationmultivariate partial nonstationaritynonstationary seasonal modelspartially nonstationary vector autoregressive modeltwo-step reduced rank estimation procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (17)

Cointegration analysis with state space models ⋮ Generalized method of moments estimation for cointegrated vector autoregressive models ⋮ On cointegration for processes integrated at different frequencies ⋮ Common cycles in seasonally cointegrated time series ⋮ A NOTE ON TESTING FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS IN THE FREQUENCY DOMAIN ⋮ Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors ⋮ Semiparametric Seasonal Cointegrating Rank Selection ⋮ A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES ⋮ Small-sample improvements in the statistical analysis of seasonally cointegrated systems ⋮ Tests for real and complex unit roots in vector autoregressive models ⋮ Inference of seasonal cointegration with linear restrictions ⋮ Extended complex error correction models for seasonal cointegration ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ A simple GLS procedure for seasonal cointegration ⋮ Modelling comovements of economic time series: a selective survey ⋮ Generalized high-dimensional trace regression via nuclear norm regularization ⋮ Bonferroni correction for seasonal cointegrating ranks

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