Testing for cointegration in \(I(1)\) state space systems via a finite order approximation

DOI10.1016/j.econlet.2018.02.012zbMath1401.62151OpenAlexW2790066697MaRDI QIDQ1787431

Massimo Franchi

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.02.012

zbMATH Keywords

\(I(1)\) state space systemsvector autoregressive approximation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Factorization of matrix and operator functions. The state space method
• Using the generalized Schur form to solve a multivariate linear rational expectations model
• Cointegration in singular ARMA models
• A check for finite order VAR representations of DSGE models
• An asymptotic invariance property of the common trends under linear transformations of the data
• Inverting a Matrix Function around a Singularity via Local Rank Factorization
• Dynamic Identification of Dynamic Stochastic General Equilibrium Models
• A STATE SPACE CANONICAL FORM FOR UNIT ROOT PROCESSES

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