Inference of Vector Autoregressive Models with Cointegration and Scalar Components

Journal of the American Statistical Association

Volumn 92, Issue 437, 1997, Pages 350-356

  Ahn, Sung K ^a  

^a WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

Cofeature, Gaussian estimation; Nested reduced rank; Partially nonstationary; Serial correlation common feature

Indexed keywords

EID: 0031501563     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.1997.10473633     Document Type: Article

References (19)

1. Ahn, S. K. (1993). “Some Tests for Unit Roots in Autoregressive Integrated Moving Average Models With Deterministic Trends,” Biometrika, 80, 855-868.
2. Ahn, S. K., and Reinsel, G. C. (1988). “Nested Reduced-Rank Autoregressive Models for Multiple Time Series,” Journal of the American Statistical Association, 83, 849-856.
3. Ahn, S. K., and Reinsel, G. C (1990). “Estimation for Partially Nonstationary Multivariate Autoregressive Models,” Journal of the American Statistical Association, 85,813-823.
4. Engle, R. F., and Kozicki, S. (1993), “Testing for Common Features” (with discussion), Journal of Business and Economic Statistics, 11, 369-380.
5. Friedman, M. (1957). A Theory of the Consumption Function, Princeton, NJ: Princeton University Press.
6. Fuller W. A. (1976). Introduction to Statistical Time Series, New York
7. Hylleberg, S., Engle, R. F., Granger, C. W. J., and Yoo, B. S. (1990), “Seasonal Integration and Cointegration:’ Journal of Econometrics, 44, 215-238.
8. Johansen, S. (1988). “Statistical Analysis of Cointegration Vectors,” Journal of Economic Dynamics and Control, 12,231-254.
9. Johansen, S (1991). “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models:’ Econometrica, 59
10. Johansen, S., and Jesulius, K. (1990). “Maximum Likelihood Estimation and Inference on Cointegration, With Application to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52, 169-210.
11. Phillips, P. C. B. (1991), “Optimal Inference in Cointegrated System,” Econometrica, 59, 283-306.
12. Reinsel, G. C. (1983). “Some Results of Multivariate Autoregressive Index Models,” Biometrika, 70, 107-115.
13. Reinsel, G. C. (1993). Elements of Multivariate Time Series Analysis, New York Springer-Verlag.
14. Reinsel, G. C., and Ahn, S. K. (1992). “Vector Autoregressive Models With Unit Roots and Reduced Rank Structure: Estimation, Likelihood Ratio Test, and Forecasting:’ Journal of 7Tme Series Analysis, 13, 353-375.
15. Rencher, A. C. (1995). Methods of Multivariate Analysis, New York: Wiley.
16. Stock, J. H., and Watson, M. W. (1988). “Testing for Common Trends,” Journal of the American Statistical Association, 83, 1097-1107.
17. Tiao, G. C., and Tsay, R. S. (1985) “A Canonical Correlation Approach to Modeling Multivariate Time Series,” in Proceedings of the Business and Economic Statistics Section, American Statistical Association, pp. 112-120.
18. Tiao, G. C., and Tsay, R. S (1989), “Model Specification in Multivariate Time Series With Applications” (with discussion), Journal of the Royal Statistical Society, Ser. B, 51, 157-213.
19. Vahid, F., and Engle, R. F. (1993). “Common Trends and Common Cycles,” 155 1-1580. Wiley. Journal of Applied Econometrics, 8,341-360