A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing

Bauer D, Matuschek L, de Matos Ribeiro P, Wagner M (2020)
Econometrics 8(4): 42.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
We develop and discuss a parameterization of vector autoregressive moving average processes with arbitrary unit roots and (co)integration orders. The detailed analysis of the topological properties of the parameterization—based on the state space canonical form of Bauer and Wagner (2012)—is an essential input for establishing statistical and numerical properties of pseudo maximum likelihood estimators as well as, e.g., pseudo likelihood ratio tests based on them. The general results are exemplified in detail for the empirically most relevant cases, the (multiple frequency or seasonal) I(1) and the I(2) case. For these two cases we also discuss the modeling of deterministic components in detail.
Erscheinungsjahr
2020
Zeitschriftentitel
Econometrics
Band
8
Ausgabe
4
Art.-Nr.
42
eISSN
2225-1146
Page URI
https://pub.uni-bielefeld.de/record/2949615

Zitieren

Bauer D, Matuschek L, de Matos Ribeiro P, Wagner M. A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. Econometrics. 2020;8(4): 42.
Bauer, D., Matuschek, L., de Matos Ribeiro, P., & Wagner, M. (2020). A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. Econometrics, 8(4), 42. doi:10.3390/econometrics8040042
Bauer, D., Matuschek, L., de Matos Ribeiro, P., and Wagner, M. (2020). A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. Econometrics 8:42.
Bauer, D., et al., 2020. A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. Econometrics, 8(4): 42.
D. Bauer, et al., “A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing”, Econometrics, vol. 8, 2020, : 42.
Bauer, D., Matuschek, L., de Matos Ribeiro, P., Wagner, M.: A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. Econometrics. 8, : 42 (2020).
Bauer, Dietmar, Matuschek, Lukas, de Matos Ribeiro, Patrick, and Wagner, Martin. “A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing”. Econometrics 8.4 (2020): 42.
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2020-12-21T15:59:35Z
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