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An alternative solution to the Autoregressivity Paradox in time series analysis

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  • Cubadda, Gianluca
  • Triacca, Umberto

Abstract

This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and methods of the paper are illustrated via an empirical investigation of the low-frequency properties of hours worked in the US.

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File URL: http://www.sciencedirect.com/science/article/B6VB1-52BF9KF-5/2/559803f41c5fdc75a6c42a4fc314657a
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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 28 (2011)
Issue (Month): 3 (May)
Pages: 1451-1454

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Handle: RePEc:eee:ecmode:v:28:y:2011:i:3:p:1451-1454

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: VAR models ARIMA models Final equations;

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  1. Atella, Vincenzo & Centoni, Marco & Cubadda, Gianluca, 2008. "Technology shocks, structural breaks and the effects on the business cycle," Economics Letters, Elsevier, vol. 100(3), pages 392-395, September.
  2. PALM, Franz, . "On univariate time series methods and simultaneous equation econometric models," CORE Discussion Papers RP -293, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Rose, Andrew K., 1986. "Four paradoxes in GNP," Economics Letters, Elsevier, vol. 22(2-3), pages 137-141.
  4. Robert G. King & Charles I. Plosser & James H. Stock & Mark W. Watson, 1991. "Stochastic trends and economic fluctuations," Working Paper Series, Macroeconomic Issues 91-4, Federal Reserve Bank of Chicago.
  5. Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, vol. 61(2), pages 197-233, April.
  6. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2008. "Macro-panels and reality," Economics Letters, Elsevier, vol. 99(3), pages 537-540, June.
  7. Wallis, Kenneth F, 1977. "Multiple Time Series Analysis and the Final Form of Econometric Models," Econometrica, Econometric Society, vol. 45(6), pages 1481-97, September.
  8. Zellner, Arnold & Palm, Franz, 1974. "Time series analysis and simultaneous equation econometric models," Journal of Econometrics, Elsevier, vol. 2(1), pages 17-54, May.
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