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A characterization of vector autoregressive processes with common cyclical features

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  • Franchi, Massimo
  • Paruolo, Paolo

Abstract

This paper presents necessary and sufficient conditions for the existence of common cyclical features in Vector Auto Regressive (VAR) processes integrated of order 0, 1, 2, where the common cyclical features correspond to common serial correlation (CS), commonality in the final equations (CE) and co-dependence (CD). The results are based on local rank factorizations of the reversed AR polynomial around the poles of its inverse. All processes with CS structures are found to present also CE structures and vice versa. The presence of CD structures, instead, implies the presence of both CS and CE structures, but not vice versa. Characterizations of the CS, CE, CD linear combinations are given in terms of linear subspaces defined in the local rank factorizations.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 163 (2011)
Issue (Month): 1 (July)
Pages: 105-117

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Handle: RePEc:eee:econom:v:163:y:2011:i:1:p:105-117

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

Related research

Keywords: Multiple time series Common cycles Cointegration I(1) I(2);

References

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Citations

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Cited by:
  1. Carsten Trenkler & Enzo Weber, 2013. "Codependent VAR models and the pseudo-structural form," AStA Advances in Statistical Analysis, Springer, vol. 97(3), pages 287-295, July.
  2. Marcel Gorenflo, 2013. "Futures price dynamics of CO 2 emission allowances," Empirical Economics, Springer, vol. 45(3), pages 1025-1047, December.
  3. Massimo Franchi & Paolo Paruolo, 2011. "Normal forms of regular matrix polynomials via local rank factorization," DSS Empirical Economics and Econometrics Working Papers Series 2011/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.

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