The cointegrated vector autoregressive model with general deterministic terms

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Standard

The cointegrated vector autoregressive model with general deterministic terms. / Johansen, Søren; Nielsen, Morten Ørregaard.

I: Journal of Econometrics, Bind 202, Nr. 2, 02.2018, s. 214-229.

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

Harvard

Johansen, S & Nielsen, MØ 2018, 'The cointegrated vector autoregressive model with general deterministic terms', Journal of Econometrics, bind 202, nr. 2, s. 214-229. https://doi.org/10.1016/j.jeconom.2017.10.003

APA

Johansen, S., & Nielsen, M. Ø. (2018). The cointegrated vector autoregressive model with general deterministic terms. Journal of Econometrics, 202(2), 214-229. https://doi.org/10.1016/j.jeconom.2017.10.003

Vancouver

Johansen S, Nielsen MØ. The cointegrated vector autoregressive model with general deterministic terms. Journal of Econometrics. 2018 feb.;202(2):214-229. https://doi.org/10.1016/j.jeconom.2017.10.003

Author

Johansen, Søren ; Nielsen, Morten Ørregaard. / The cointegrated vector autoregressive model with general deterministic terms. I: Journal of Econometrics. 2018 ; Bind 202, Nr. 2. s. 214-229.

Bibtex

@article{c6422c01d90f44a3bb13279653729d66,
title = "The cointegrated vector autoregressive model with general deterministic terms",
abstract = "In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)=Z(t) Y(t), where Z(t) belongs to a large class of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are X 2 -distributed.",
keywords = "Faculty of Social Sciences, Additive formulation, Cointegration, Deterministic terms, Extended model, Likelihood inference, VAR model",
author = "S{\o}ren Johansen and Nielsen, {Morten {\O}rregaard}",
year = "2018",
month = feb,
doi = "10.1016/j.jeconom.2017.10.003",
language = "English",
volume = "202",
pages = "214--229",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier",
number = "2",

}

RIS

TY - JOUR

T1 - The cointegrated vector autoregressive model with general deterministic terms

AU - Johansen, Søren

AU - Nielsen, Morten Ørregaard

PY - 2018/2

Y1 - 2018/2

N2 - In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)=Z(t) Y(t), where Z(t) belongs to a large class of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are X 2 -distributed.

AB - In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)=Z(t) Y(t), where Z(t) belongs to a large class of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are X 2 -distributed.

KW - Faculty of Social Sciences

KW - Additive formulation

KW - Cointegration

KW - Deterministic terms

KW - Extended model

KW - Likelihood inference

KW - VAR model

U2 - 10.1016/j.jeconom.2017.10.003

DO - 10.1016/j.jeconom.2017.10.003

M3 - Journal article

VL - 202

SP - 214

EP - 229

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 2

ER -

ID: 222753068