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Pdf Unit Roots And Cointegration Modeling Through A Family Of

Leo Migdal
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pdf unit roots and cointegration modeling through a family of

Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. 2010, Journal of Statistical Computation and Simulation We propose a fast and consistent procedure to detect unit roots based on subspace methods. It has three distinctive features. First, the same method can be applied to single or multiple time series.

Second, it employs a flexible family of information criteria, which loss functions can be adapted to the statistical properties of the data. Last, it does not require specifying a model for the analyzed series. Besides, we provide a subspace-based consistent estimator for the cointegrating rank and the cointegrating matrix. Simulation exercises show that these procedures have good finite sample properties. In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR.

It is well-known that univariate models implied by a VAR data generating process necessarily have a finite order MA component. This feature may explain why an MA component has often been found in univariate ARIMA models for economic time series. Thereby, it has important implications for unit root tests in univariate settings given the well-known size distortion of popular unit root test in the presence of a large negative coefficient in the MA component. In a small simulation experiment, considering several popular unit root tests and the ADF sieve bootstrap unit tests, we find that, besides the well known size distortion effect, there can be substantial differences in...

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Academia.edu No Longer Supports Internet Explorer. To Browse Academia.edu And

Academia.edu no longer supports Internet Explorer. To browse Academia.edu and the wider internet faster and more securely, please take a few seconds to upgrade your browser. 2010, Journal of Statistical Computation and Simulation We propose a fast and consistent procedure to detect unit roots based on subspace methods. It has three distinctive features. First, the same method can be applied to sin...

Second, It Employs A Flexible Family Of Information Criteria, Which

Second, it employs a flexible family of information criteria, which loss functions can be adapted to the statistical properties of the data. Last, it does not require specifying a model for the analyzed series. Besides, we provide a subspace-based consistent estimator for the cointegrating rank and the cointegrating matrix. Simulation exercises show that these procedures have good finite sample pr...

It Is Well-known That Univariate Models Implied By A VAR

It is well-known that univariate models implied by a VAR data generating process necessarily have a finite order MA component. This feature may explain why an MA component has often been found in univariate ARIMA models for economic time series. Thereby, it has important implications for unit root tests in univariate settings given the well-known size distortion of popular unit root test in the pr...