VAR Cointegration in VARMA Models
AbstractThe method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by a vector autoregressive process. In this article we extend the data generating process to autoregressive moving average models without unit roots in the MA polynomial. We first extend some matrix algebraic relationships for I(1) processes and derive their implications for the structure theory of cointegration. Specifically we show that the cointegrating space is invariant to MA errors which have no unit roots in the MA polynomial. The above results permit to prove the robustness of the Johansen estimates of the cointegrating space in a Gaussian vector autoregressive framework when the true model is vector autoregressive moving average, without unit roots in the MA polynomial. The small sample properties of the theoretical results are examined through a small simulation study.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Institute for Advanced Studies in its series Economics Series with number 65.
Length: 37 pages
Date of creation: May 1999
Date of revision:
Postal: Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ronald Bewley & Minxian Yang, 1998.
"On The Size And Power Of System Tests For Cointegration,"
The Review of Economics and Statistics,
MIT Press, vol. 80(4), pages 675-679, November.
- Bewley, R. & Yang, M., 1996. "On the Size and Power of System Tests for Cointegration," Papers 96/9, New South Wales - School of Economics.
- Haldrup, Niels & Salmon, Mark, 1998. "Representations of I(2) cointegrated systems using the Smith-McMillan form," Journal of Econometrics, Elsevier, vol. 84(2), pages 303-325, June.
- Toda, Hiro Y., 1995. "Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1015-1032, October.
- Bierens, H.J., 1995.
"Nonparametric cointegration analysis,"
1995-123, Tilburg University, Center for Economic Research.
- Dietmar Bauer & Martin Wagner, 2000.
"Estimating Cointegrated Systems Using Subspace Algorithms,"
Econometric Society World Congress 2000 Contributed Papers
0293, Econometric Society.
- Bauer, Dietmar & Wagner, Martin, 2002. "Estimating cointegrated systems using subspace algorithms," Journal of Econometrics, Elsevier, vol. 111(1), pages 47-84, November.
- 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.
- Segismundo Izquierdo & Cesï¿½reo Hernï¿½ndez & Javier Pajares, 2005. "State Space Modelling of Cointegrated Systems using Subspace Algorithms," Econometrics 0509010, EconWPA, revised 07 Feb 2006.
- Wu, Chung-Shu & Lin, Jin-Lung & Tiao, George C. & Cho, David D., 2005. "Is money demand in Taiwan stable?," Economic Modelling, Elsevier, vol. 22(2), pages 327-346, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Doris Szoncsitz).
If references are entirely missing, you can add them using this form.