Yao, XZ;Izzeldin, M;Li, ZX
[Yao, Xingzhi] Xian Jiaotong Liverpool Univ, Int Business Sch Suzhou, Suzhou 215123, Peoples R China.
[Li, Zhenxiong] Xian Jiaotong Liverpool Univ, XIPU Inst Think Tank, Suzhou 215123, Peoples R China.
[Izzeldin, Marwan] Univ Lancaster, Dept Econ, Lancaster LA1 4YD, England.
ECONOMICS LETTERS
Volume:181 Pages:160-163
DOI:10.1016/j.econlet.2019.05.031
Publication Year:2019
JCR:Q2
ESI Discipline:ECONOMICS & BUSINESS
Latest Impact Factor:2.097
Document Type:Journal Article
Identifier:http://hdl.handle.net/20.500.12791/000488
Abstract
We propose a filtration technique for making inference in systems with I(0) and I(d) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I(0) variable are demonstrated using simulations. (C) 2019 Elsevier B.V. All rights reserved.
Keywords
Long memory Fractional co-integration Model predictability
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