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Approximate State Space Modelling of Unobserved Fractional Components

Hartl, Tobias and Weigand, Roland (2019) Approximate State Space Modelling of Unobserved Fractional Components. Discussion Paper. (Submitted)

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Date of publication of this fulltext: 08 Mar 2019 10:23

at arXiv

Other URL: https://arxiv.org/abs/1812.09142


Abstract

We propose convenient inferential methods for potentially nonstationary multivariate unobserved components models with fractional integration and cointegration. Based on finite-order ARMA approximations in the state space representation, maximum likelihood estimation can make use of the EM algorithm and related techniques. The approximation outperforms the frequently used autoregressive or moving ...

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Item type:Monograph (Discussion Paper)
Date:February 2019
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Identification Number:
ValueType
1812.09142arXiv ID
Classification:
NotationType
C32Journal of Economics Literature Classification
C51Journal of Economics Literature Classification
C53Journal of Economics Literature Classification
C58Journal of Economics Literature Classification
Keywords:Long memory, fractional cointegration, state space, unobserved components.
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Submitted
Refereed:Unknown
Created at the University of Regensburg:Yes
Item ID:38416
Owner only: item control page

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