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      <record key="001" att1="001" value="175249" att2="175249">001   175249</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Open Access</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/lib/oa8.pdf</field>
      <field key="079" subkey="z">Bauer, Dietmar - et al., The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study (pdf)</field>
      <field key="100" subkey="">Bauer, Dietmar</field>
      <field key="103" subkey="">Institute for Econometrics, Operations Research and System Theory, TU Wien</field>
      <field key="104" subkey="a">Wagner, Martin</field>
      <field key="107" subkey="">Department of Economics, University of Bern</field>
      <field key="331" subkey="">The Performance of Subspace Algorithm Cointegration Analysis: A Simulation Study</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Bern, Switzerland</field>
      <field key="412" subkey="">Volkswirtschaftliches Institut, Universität Bern</field>
      <field key="425" subkey="">2003, May</field>
      <field key="433" subkey="">38 pp.</field>
      <field key="451" subkey="">Diskussionsschriften; 03-08</field>
      <field key="451" subkey="i">Volkswirtschaftliches Institut, Universität Bern (Ed.)</field>
      <field key="544" subkey="">OA8</field>
      <field key="700" subkey="">C13</field>
      <field key="700" subkey="">C32</field>
      <field key="720" subkey="">State space representation</field>
      <field key="720" subkey="">Cointegration</field>
      <field key="720" subkey="">Subspace algorithms</field>
      <field key="720" subkey="">Simulation study</field>
      <field key="753" subkey="">Abstract: This paper presents a simulation study that assesses the finite sample performance of the subspace algorithm</field>
      <field key="coi" subkey="n">tegration analysis developed in Bauer and Wagner (2002b). The method is formulated in the state space framework, which is</field>
      <field key="equ" subkey="i">valent to the VARMA framework, in a sense made precise in the paper. This implies applicability to VARMA processes. The paper</field>
      <field key="pro" subkey="p">oses and compares six different tests for the cointegrating rank. The simulations investigate four issues: the order</field>
      <field key="est" subkey="i">mation, the size performance of the proposed tests, the accuracy of the estimation of the cointegrating space and the</field>
      <field key="for" subkey="e">casting performance. The simulations are performed on a set of trivariate processes with cointegrating ranks ranging from</field>
      <field key="zer" subkey="o">to three as well as on processes of output dimension four and cointegrating rank two. We analyze the influence of the sample</field>
      <field key="siz" subkey="e">on the results as well as the sensitivity of the results with respect to stable poles approaching the unit circle. All</field>
      <field key="res" subkey="u">lts are compared to benchmark results obtained by applying the Johansen procedure on VAR models fitted to the data. The</field>
      <field key="sim" subkey="u">lations show advantages of subspace algorithm cointegration analysis for the small sample performance of the tests for the</field>
      <field key="coi" subkey="n">tegrating rank in many cases. However, we find that the accuracy of the subspace algorithm based estimation of the</field>
      <field key="coi" subkey="n">tegrating space is unsatisfactory for the four-dimensional simulated systems. The forecasting performance is grosso modo</field>
      <field key="com" subkey="p">arable to the results obtained by applying the Johansen methodology on VAR approximations, although for very small sample</field>
      <field key="siz" subkey="e">s the forecasts based on VAR approximations outperform the subspace forecasts. The appendix provides critical values for the</field>
      <field key="tes" subkey="t">statistics.;</field>
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