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Análisis de tendencias comunes y cointegración en espacio de estados

Author

Listed:
  • José Mondéjar Jiménez
  • Manuel Vargas Vargas

Abstract

La detección de cointegración o la obtención de componentes comunes de tendencia ha sido abordada principalmente mediante la representación VARMA de procesos estocásticos, mientras que la representación en espacio de estados ha recibido menos atención en la literatura especializada, aunque presenta ventajas computacionales y analíticas que justifican su estudio. El trabajo se centrará en el análisis de series temporales no estacionarias representadas en espacio de estados. Se expondrá la justificación del método, los algoritmos desarrollados y una propuesta de modelización alternativa a los planteamientos ya clásicos como el contraste de cointegración de Johansen o la descomposición de Beveridge y Nelson.

Suggested Citation

  • José Mondéjar Jiménez & Manuel Vargas Vargas, 2006. "Análisis de tendencias comunes y cointegración en espacio de estados," Contribuciones a la Economía, Servicios Académicos Intercontinentales SL, issue 2006-09, September.
    • Handle: RePEc:erv:contri:y:2006:i:2006-09:401f7efaa3e72b31e19073be20c20f6e
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    Cited by:

    1. Segismundo Izquierdo & Ces�reo Hern�ndez & Javier Pajares, 2005. "State Space Modelling of Cointegrated Systems using Subspace Algorithms," Econometrics 0509010, University Library of Munich, Germany, revised 07 Feb 2006.

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