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Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation

Tschernig, Rolf, Weber, Enzo and Weigand, Roland (2013) Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 471, Working Paper, University of Regensburg, Regensburg.

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Date of publication of this fulltext: 15 Jan 2013 09:53

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Abstract

Fractionally integrated vector autoregressive models allow to capture persistence in time series data in a very flexible way. Additional flexibility for the short memory properties of the model can be attained by using the fractional lag perator of Johansen (2008) in the vector autoregressive polynomial. However, it also makes maximum likelihood estimation more diffcult. In this paper we first ...

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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:2013
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Identification Number:
ValueType
RePEc:bay:rdwiwi:27269RePEc Handle
Classification:
NotationType
C32Journal of Economics Literature Classification
C51Journal of Economics Literature Classification
Keywords:fractional integration, long memory, maximum likelihood estimation, fractional lag operator
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Unknown
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Yes
Item ID:27269
Owner only: item control page

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