Asymptotic Inference Results For Multivariate Long-Memory Processes  

Oleh:

Dolado, Juan J. ; Marmol, Francesc

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 7 no. 1 (Jun. 2004), page 168–190.
Topik: Vector fractionally integrated processes; Fractional cointegration; Granger causality; Permanent income hypothesis
Fulltext: 168.pdf (205.95KB)

Isi artikel

In this paper, we extend the well-known Sims, Stock and Watson (SSW) (Sims et al. 1990; Econometrica 56, 113–44), analysis on estimation and testing in vector autoregressive process (VARs) with integer unit roots and deterministic components to a more general set-up where non-stationary fractionally integrated (NFI) processes are considered. In particular, we focus on partial VAR models where the conditioning variables are NFI since this is the only finite-lag VAR model compatible with such processes. We show how SSW’s conclusions remain valid. This means that whenever a block of coefficients in the partial VAR can be written as coefficients on zero-mean I(0) regressors in models including a constant term, they will have a joint asymptotic normal distribution. Monte Carlo simulations and an empirical application of our theoretical results are also provided.

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