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<section name="raw"> <SEQUENTIAL> <record key="001" att1="001" value="LIB911001909" att2="LIB911001909">001 LIB911001909</record> <field key="037" subkey="x">englisch</field> <field key="050" subkey="x">Forschungsbericht</field> <field key="076" subkey="">Ökonomie</field> <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-65.pdf</field> <field key="079" subkey="z">Wagner, Martin, VAR Cointegration in VARMA Models (pdf)</field> <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/65.html</field> <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 65 (RePEc)</field> <field key="100" subkey="">Wagner, Martin</field> <field key="103" subkey="">Institute of Advanced Studies, Vienna</field> <field key="331" subkey="">VAR Cointegration in VARMA Models</field> <field key="403" subkey="">1. Ed.</field> <field key="410" subkey="">Wien</field> <field key="412" subkey="">Institut für Höhere Studien</field> <field key="425" subkey="">1999, May</field> <field key="433" subkey="">37 pp.</field> <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 65</field> <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Ed.) ; Ritzberger, Klaus (Ed.)</field> <field key="461" subkey="">Economics Series</field> <field key="517" subkey="c">from the Table of Contents: Introduction; Some Matrix Algebra of I(1) Processes; The Behaviour of the Johansen Estimates under</field> <field key="Mis" subkey="s">pecification; Results of a Simulation Study; Conclusions; Appendixes;</field> <field key="544" subkey="">IHSES 65</field> <field key="700" subkey="">C13</field> <field key="700" subkey="">C15</field> <field key="700" subkey="">C32</field> <field key="720" subkey="">Cointegration</field> <field key="720" subkey="">Johansen procedure</field> <field key="720" subkey="">Misspecification</field> <field key="720" subkey="">Robustness</field> <field key="720" subkey="">Simulation</field> <field key="720" subkey="">Hausdorff distance</field> <field key="753" subkey="">Abstract: The method for estimation and testing for cointegration put forward by Johansen assumes that the data are described by</field> <field key="a v" subkey="e">ctor autoregressive process. In this article we extend the data generating process to autoregressive moving average models</field> <field key="wit" subkey="h">out unit roots in the MA polynomial. We first extend some matrix algebraic relationships for I(1) processes and derive their</field> <field key="imp" subkey="l">ications for the structure theory of cointegration. Specifically we show that the cointegrating space is invariant to MA</field> <field key="err" subkey="o">rs which have no unit roots in the MA polynomial. The above results permit to prove the robustness of the Johansen estimates</field> <field key="of" subkey="t">he cointegrating space in a Gaussian vector autoregressive framework when the true model is vector autoregressive moving</field> <field key="ave" subkey="r">age, without unit roots in the MA polynomial. The small sample properties of the theoretical results are examined through a</field> <field key="sma" subkey="l">l simulation study.;</field> </SEQUENTIAL> </section> Servertime: 0.148 sec | Clienttime:
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