An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data

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Standard

An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data. / Johansen, Søren; Juselius, Katarina.

I: Journal of Econometrics, Bind 178, Nr. Part 2, 2014, s. 310-315.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Johansen, S & Juselius, K 2014, 'An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data', Journal of Econometrics, bind 178, nr. Part 2, s. 310-315. https://doi.org/10.1016/j.jeconom.2013.08.029

APA

Johansen, S., & Juselius, K. (2014). An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data. Journal of Econometrics, 178(Part 2), 310-315. https://doi.org/10.1016/j.jeconom.2013.08.029

Vancouver

Johansen S, Juselius K. An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data. Journal of Econometrics. 2014;178(Part 2):310-315. https://doi.org/10.1016/j.jeconom.2013.08.029

Author

Johansen, Søren ; Juselius, Katarina. / An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data. I: Journal of Econometrics. 2014 ; Bind 178, Nr. Part 2. s. 310-315.

Bibtex

@article{421eec66184141bd8348d8e09a7576bf,
title = "An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data",
abstract = "It is well known that if X_{t} is a nonstationary process and Y_{t} is a linear function of X_{t}, then cointegration of Y_{t} implies cointegration of X_{t}. We want to find an analogous result for common trends if X_{t} is generated by a finite order VAR with i.i.d. (0,Ω_{x}) errors ε_{xt}. We first show that Y_{t} has an infinite order VAR representation in terms of its white noise prediction errors, ε_{yt}, which are a linear process in ε_{xt}, the prediction error for X_{t}. We then apply this result to show that the limit of the common trends for Y_{t} generated by ε_{yt}, are linear functions of the common trends for X_{t}, generated by ε_{xt}.We illustrate the findings with a small analysis of the term structure of interest rates.",
author = "S{\o}ren Johansen and Katarina Juselius",
note = "JEL classification: C32",
year = "2014",
doi = "10.1016/j.jeconom.2013.08.029",
language = "English",
volume = "178",
pages = "310--315",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier",
number = "Part 2",

}

RIS

TY - JOUR

T1 - An Asymptotic Invariance Property of Common Trends under Linear Transformations of the Data

AU - Johansen, Søren

AU - Juselius, Katarina

N1 - JEL classification: C32

PY - 2014

Y1 - 2014

N2 - It is well known that if X_{t} is a nonstationary process and Y_{t} is a linear function of X_{t}, then cointegration of Y_{t} implies cointegration of X_{t}. We want to find an analogous result for common trends if X_{t} is generated by a finite order VAR with i.i.d. (0,Ω_{x}) errors ε_{xt}. We first show that Y_{t} has an infinite order VAR representation in terms of its white noise prediction errors, ε_{yt}, which are a linear process in ε_{xt}, the prediction error for X_{t}. We then apply this result to show that the limit of the common trends for Y_{t} generated by ε_{yt}, are linear functions of the common trends for X_{t}, generated by ε_{xt}.We illustrate the findings with a small analysis of the term structure of interest rates.

AB - It is well known that if X_{t} is a nonstationary process and Y_{t} is a linear function of X_{t}, then cointegration of Y_{t} implies cointegration of X_{t}. We want to find an analogous result for common trends if X_{t} is generated by a finite order VAR with i.i.d. (0,Ω_{x}) errors ε_{xt}. We first show that Y_{t} has an infinite order VAR representation in terms of its white noise prediction errors, ε_{yt}, which are a linear process in ε_{xt}, the prediction error for X_{t}. We then apply this result to show that the limit of the common trends for Y_{t} generated by ε_{yt}, are linear functions of the common trends for X_{t}, generated by ε_{xt}.We illustrate the findings with a small analysis of the term structure of interest rates.

U2 - 10.1016/j.jeconom.2013.08.029

DO - 10.1016/j.jeconom.2013.08.029

M3 - Journal article

VL - 178

SP - 310

EP - 315

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - Part 2

ER -

ID: 37393269