Common dynamics in I(1) VAR systems
This paper discusses common cycles in I(1) vector autoregressive (VAR) systems, both for the first di¤erences of the process and for deviations from equilibrium. This extension is based on the equilibrium dynamics representation of I(1) systems, which is presented in this paper. Inference on the number of common features is addressed via reduced rank regression, as well as estimation of the cofeature relations and specification testing. An empirical application on five US monthly macro and financial time series illustrates the techniques presented in the paper. We find one cointegrating relation and one cofeature vector in the equilibrium dynamics formulation, implying four common trends and four common cycles in the system.
|Date of creation:||Dec 2003|
|Date of revision:|
|Contact details of provider:|| Postal: Via Ravasi 2-21100 Varese|
Web page: http://www.uninsubria.it/uninsubria/facolta/econo.html
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ins:quaeco:qf0316. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Segreteria Dipartimento)The email address of this maintainer does not seem to be valid anymore. Please ask Segreteria Dipartimento to update the entry or send us the correct email address
If references are entirely missing, you can add them using this form.