Extracting a common stochastic trend: theory with some applications

DOI10.1016/j.jeconom.2008.12.007zbMath1429.62655OpenAlexW2093724309MaRDI QIDQ302195

Yoosoon Chang, J. Isaac Miller, Joon Y. Park

Publication date: 4 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.007

zbMATH Keywords

maximum likelihood estimationKalman filterinterest ratesstate space modelpermanent-transitory decompositioncommon stochastic trendstock price indexvolume and volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (7)

A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data ⋮ On idiosyncratic stochasticity of financial leverage effects ⋮ Bayesian hypothesis testing in latent variable models ⋮ Cointegrating regressions with messy regressors and an application to mixed-frequency series ⋮ The estimation uncertainty of permanent-transitory decompositions in co-integrated systems ⋮ Time-varying cointegration and the Kalman filter ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

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