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Estimating cointegrated systems using subspace algorithms

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  • Bauer, Dietmar
  • Wagner, Martin

Abstract

In this paper the properties of so called subspace methods in the context of cointegrated processes of order one are investigated. It is shown that the algorithms deliver consistent estimates of the transfer function in the case of general VARMA models and under mild conditions on the underlying noise process. A procedure for the estimation of the dimension of the cointegrating space is presented and consistency for this procedure is proven. Also the estimation of the order of the system is discussed. Simulation examples demon- strate the usefulness of the subspace algorithms for the estimation of cointegrated systems.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 111 (2002)
Issue (Month): 1 (November)
Pages: 47-84

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Handle: RePEc:eee:econom:v:111:y:2002:i:1:p:47-84

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Wagner, Martin, 1999. "VAR Cointegration in VARMA Models," Economics Series 65, Institute for Advanced Studies.
  2. Saikkonen, Pentti & Luukkonen, Ritva, 1997. "Testing cointegration in infinite order vector autoregressive processes," Journal of Econometrics, Elsevier, vol. 81(1), pages 93-126, November.
  3. Wagner, Martin, 1999. "Bierens' and Johansen's Method - Complements or Substitutes?," Economics Series 74, Institute for Advanced Studies.
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  5. Lai, T. L. & Wei, C. Z., 1982. "Asymptotic properties of projections with applications to stochastic regression problems," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 346-370, September.
  6. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-78, September.
  7. Saikkonen, Pentti, 1992. "Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation," Econometric Theory, Cambridge University Press, vol. 8(01), pages 1-27, March.
  8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  9. H. L├╝tkepohl & P. Saikkonen, 1995. "Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes," SFB 373 Discussion Papers 1995,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  11. Poskitt, Don S, 2000. "Strongly Consistent Determination of Cointegrating Rank via Canonical Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 77-90, January.
  12. Bierens, H.J., 1995. "Nonparametric cointegration analysis," Discussion Paper 1995-123, Tilburg University, Center for Economic Research.
  13. repec:cup:etheor:v:8:y:1992:i:1:p:1-27 is not listed on IDEAS
  14. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation for Research in Economics, Yale University.
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