Estimating cointegrated systems using subspace algorithms
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.(This abstract was borrowed from another version of this item.)
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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
Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom
Related research
Keywords:Other versions of this item:
- Dietmar Bauer & Martin Wagner, 2000. "Estimating Cointegrated Systems Using Subspace Algorithms," Econometric Society World Congress 2000 Contributed Papers 0293, Econometric Society.
References
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Dietmar Bauer & Martin Wagner, 2003.
"A Canonical Form for Unit Root Processes in the State Space Framework,"
Diskussionsschriften
dp0312, Universitaet Bern, Departement Volkswirtschaft.
- Dietmar Bauer & Martin Wagner, 2002. "A Canonical Form for Unit Root Processes in the State Space Framework," Diskussionsschriften dp0204, Universitaet Bern, Departement Volkswirtschaft.
- Dietmar Bauer & Martin Wagner, 2002. "Asymptotic Properties of Pseudo Maximum Likelihood Estimates for Multiple Frequency I(1) Processes," Diskussionsschriften dp0205, Universitaet Bern, Departement Volkswirtschaft.
- Martin Wagner, 2004.
"A Comparison of Johansen's, Bierens' and the Subspace Algorithm Method for Cointegration Analysis,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 66(3), pages 399-424, 07.
- Martin Wagner, 2002. "A Comparison of Johansen's, Bierens and the Subspace Algorithm Method for Cointegration Analysis," Diskussionsschriften dp0210, Universitaet Bern, Departement Volkswirtschaft.
- Wagner, Martin, 2010.
"Cointegration Analysis with State Space Models,"
Economics Series
248, Institute for Advanced Studies.
- Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer, vol. 94(3), pages 273-305, September.
- Christian Kascha & Karel Mertens, 2006.
"Business Cycle Analysis and VARMA models,"
Economics Working Papers
ECO2006/37, European University Institute.
- Kascha, Christian & Mertens, Karel, 2009. "Business cycle analysis and VARMA models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 267-282, February.
- Christian Kascha & Karel Mertens, 2008. "Business cycle analysis and VARMA models," Working Paper 2008/05, Norges Bank.
- Izquierdo, Segismundo S. & Hernández, Cesáreo & del Hoyo, Juan, 2006. "Forecasting VARMA processes using VAR models and subspace-based state space models," MPRA Paper 4235, University Library of Munich, Germany.
- Dietmar Bauer & Martin Wagner, 2003. "The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study," Diskussionsschriften dp0308, Universitaet Bern, Departement Volkswirtschaft.
- Mauricio, Jose Alberto, 2006. "Exact maximum likelihood estimation of partially nonstationary vector ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3644-3662, August.
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"Automated Discovery In Econometrics,"
Econometric Theory,
Cambridge University Press, vol. 21(01), pages 3-20, February.
- Peter C.B. Phillips, 2004. "Automated Discovery in Econometrics," Cowles Foundation Discussion Papers 1469, Cowles Foundation for Research in Economics, Yale University.
- Martin Wagner, 2008.
"On PPP, unit roots and panels,"
Empirical Economics,
Springer, vol. 35(2), pages 229-249, September.
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- Bauer, Dietmar & Wagner, Martin, 2009. "Using subspace algorithm cointegration analysis: Simulation performance and application to the term structure," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1954-1973, April.
- Dietmar Bauer & Martin Wagner, 2005.
"Autoregressive Approximations of Multiple Frequency I(1) Processes,"
Economics Working Papers
ECO2005/09, European University Institute.
- Bauer, Dietmar & Wagner, Martin, 2005. "Autoregressive Approximations of Multiple Frequency I(1) Processes," Economics Series 174, Institute for Advanced Studies.
- Segismundo Izquierdo & Ces�reo Hern�ndez & Javier Pajares, 2005. "State Space Modelling of Cointegrated Systems using Subspace Algorithms," Econometrics 0509010, EconWPA, revised 07 Feb 2006.
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"A review of heuristic optimization methods in econometrics,"
Swiss Finance Institute Research Paper Series
08-12, Swiss Finance Institute.
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