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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | SIMPLE IDENTIFICATION AND SPECIFICATION OF COINTEGRATED VARMA MODELS SIMPLE IDENTIFICATION OF COINTEGRATED VARMA MODELS |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Applied Econometrics |
| Geographical Reach | international |
| Volume | 30 |
| Number | 4 |
| Page Range | 675 - 702 |
| Date | 2014 |
| Abstract Text | We bring together some recent advances in the literature on vector autoregressive moving-average models creating a simple specification and estimation strategy for the cointegrated case. We show that in this case with fixed initial values there exists a socalled final moving-average representation. We proof that the specification strategy is consistent. The performance of the proposed method is investigated via a Monte Carlo study and a forecasting exercise for US interest rates. We find that our method performs well relative to alternative approaches for cointegrated series and methods which do not allow for moving-average terms. |
| Digital Object Identifier | 10.1002/jae.2393 |
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