ESI Discipline:ECONOMICS & BUSINESS
Latest Impact Factor:2.097
Document Type:Journal Article
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.
Long memory Fractional co-integration Model predictability