On the specification of cointegrated autoregressive moving-average forecasting systems

International Journal of Forecasting

Volumn 19, Issue 3, 2003, Pages 503-519

  Poskitt, Don S ^a  

^a AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

ARMA model; Cointegration rank; Echelon form; Equilibrium correction form; Forecasting system; Kronecker indices; Least squares

Indexed keywords

EID: 0042384867     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0169-2070(02)00031-6     Document Type: Article

References (32)

1. Bartel H. Lütkepohl H. Estimating the Kronecker indices of cointegrated echelon form VARMA models 1997 Institut für Statistik und ÖKonometrie Humboldt Universität zu Berlin, Quantifikation und Simulation ÖKonometrie Prozesse Discussion paper 2
2. Bewley R.Yang M. On the size and power of system tests for cointegration 1997 School of Economics University of New South Wales Discussion paper 96/9
3. Cheung Y. Lai K.S. Finite-sample sizes of Johansen's likelihood ratio tests for cointegration Oxford Bulletin of Economics and Statistics 55 1993 313-328
4. Clements M.P. Hendry D.F. Forecasting economic time series 1998 Cambridge University Press Cambridge
5. Engle R.F. Granger C.W.J. Cointegration and error correction: representation, estimation and testing Econometrica 55 1987 251-276
6. Engle R.F. Yoo B.S. Forecasting and testing in co-integrated systems Journal of Econometrics 35 1987 143-159
7. Guo L. Huang D.W. Hannan E.J. On ARX(∞) approximation Journal of Multivariate Analysis 32 1990 17-47
8. Huang D. Guo L. Estimation of nonstationary ARMAX models based on the Hannan-Rissanen method Annals of Statistics 18 1990 1729-1756
9. Johansen S. Statistical analysis of cointegration vectors Journal of Economic Dynamics and Control 12 1988 231-254
10. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models Econometrica 59 1991 1551-1580
11. LeSage J.P. A comparison of the forecasting ability of ECM and VAR models The Review of Economics and Statistics 72 1990 664-671
12. Litterman R.B. Forecasting with Bayesian vector autoregressions: five years of experience Journal of Business and Economic Statistics 4 1986 23-38
13. Lütkepohl H. Claessen H. Analysis of cointegrated VARMA processes Journal of Econometrics 80 1997 223-239
14. Lütkepohl H. Poskitt D.S. Specification of echelon form VARMA models Journal of Business and Economic Statistics 14 1996 69-79
15. Lütkepohl H. Poskitt D.S. Consistent estimation of the number of cointegration relations in a vector autoregressive model In Galata R. Küchenhoff H. (Eds.), Econometrics in theory and practice 1998 Springer-Verlag Berlin
16. Paulsen J. Order determination of multivariate autoregressive time series with unit roots Journal of Time Series Analysis 5 1984 115-127
17. Phillips P.C.B. Optimal inference in cointegrated systems Econometrica 59 1991 283-306
18. Poskitt D.S. Identification of echelon canonical forms for vector linear processes using least squares Annals of Statistics 20 1992 195-215
19. Poskitt D.S. Strongly consistent determination of cointegrating rank via canonical correlations Journal of Business and Economic Statistics 18 2000 71-90
20. Poskitt D.S. On the specification of cointegrated autoregressive moving-average forecasting systems: technical proofs 2001 The Australian National University Mimeo
21. Poskitt D.S. On the echelon canonical form for nonstationary dynamic simultaneous equation systems 2001 The Australian National University Mimeo
22. Poskitt D.S. Lütkepohl H. Consistent specification of cointegrated autoregressive moving-average systems 1995 Institut für Statistik und ÖKonometrie, Humboldt Universität zu Berlin Discussion paper 54
23. Poskitt D.S. Salau M.O. On the relationship between generalised least squares and Gaussian estimation of vector ARMA models Journal of Time Series Analysis 16 1995 617-645
24. Poskitt D.S. Tremayne A.R. Posterior odds of time series models Biometrika 70 1983 157-162
25. Poskitt D.S. Tremayne A.R. Determining a portfolio of linear time series models Biometrika 74 1987 125-138
26. Pötscher B.M. Model selection under nonstationarity: autoregressive models and stochastic linear regression models Annals of Statistics 17 1989 1257-1274
27. Reinsel G.C.S. Ahn S.C.K. Vector autoregressive models with unit roots and reduced rank structure: estimation, likelihood ratio test, and forecasting Journal of Time Series Analysis 13 1992 353-375
28. Saikkonen P. Luukkonen R. Testing for cointegration in infinite order VAR processes Journal of Econometrics 81 1997 93-126
29. Shibata R. Asymptotically efficient selection of the order of the model for estimating parameters of a linear process Annals of Statistics 8 1980 147-164
30. Shoesmith G.L. Multiple cointegrating vectors, error correction, and forecasting with Litterman's model International Journal of Forecasting 11 1995 557-567
31. Yap S.F. Reinsel G.C.S. Estimation and testing for unit roots in a partially nonstationary vector autoregressive moving average model Journal of the American Statistical Association 90 1995 253-267
32. Zellner A. An efficient method of estimating seemingly unrelated regressions and tests of aggregation bias Journal of the American Statistical Association 57 1962 348-368