Department of Finance

1. Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model

Author:Yao, XZ;Izzeldin, M;Li, ZX

Source:ECONOMICS LETTERS,2019,Vol.181

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.
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