Publication: Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate
dc.affiliation.dpto | UC3M. Departamento de Economía | es |
dc.contributor.author | Blazsek, Szabolcs | |
dc.contributor.author | Escribano, Álvaro | |
dc.contributor.author | Licht, Adrian | |
dc.contributor.funder | Comunidad de Madrid | es |
dc.contributor.funder | Ministerio de Economía y Competitividad (España) | es |
dc.contributor.funder | Agencia Estatal de Investigación (España) | es |
dc.date.accessioned | 2023-09-25T08:11:45Z | |
dc.date.available | 2023-09-25T08:11:45Z | |
dc.date.issued | 2023-01 | |
dc.description.abstract | Nonlinear co-integration is studied for score-driven models, using a new multivariate dynamic conditional score/generalized autoregressive score model. The model is named t-QVARMA (quasi-vector autoregressive moving average model), which is a location model for the multivariate t-distribution. In t-QVARMA, I(0) and co-integrated I(1) components of the dependent variables are included. For t-QVARMA, the conditions of the maximum likelihood estimator and impulse response functions (IRFs) are presented. A limiting special case of t-QVARMA, named Gaussian-QVARMA, is a Gaussian-VARMA specification with I(0) and I(1) components. As an empirical application, the US real gross domestic product growth, US inflation rate, and effective federal funds rate are studied for the period of 1954 Q3 to 2020 Q2. Statistical performance and predictive accuracy of t-QVARMA are superior to those of Gaussian-VAR. Estimates of the short-run IRF, long-run IRF, and total IRF impacts for the US data are reported. | en |
dc.description.sponsorship | The paper was presented at the GESG Research Seminar of Universidad Francisco Marroquín (June 20, 2019, Guatemala City). The authors greatly appreciate the comments of the anonymous reviewers of the journal, Juan Carlos Arriaza Herrera, Astrid Ayala, Matthew Copley, Carla Hess, and Søren Johansen. All remaining errors are our own. No potential conflict of interest is reported by the authors. Computer codes are available from the authors upon request. Blazsek and Licht acknowledge funding from Universidad Francisco Marroquín. Escribano acknowledges funding from Ministerio de Economía, Industria y Competitividad (ECO2016-00105-001 and MDM 2014-0431), Comunidad de Madrid (MadEco-CM S2015/HUM-3444), and Agencia Estatal de Investigación (2019/00419/001). | en |
dc.format.extent | 21 | |
dc.identifier.bibliographicCitation | Blazsek, S., Escribano, Á., & Licht, A. (2021). Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate. Macroeconomic Dynamics, 27(1), 203-223. | en |
dc.identifier.doi | http://dx.doi.org/10.1017/S1365100521000365 | |
dc.identifier.issn | 1365-1005 | |
dc.identifier.publicationfirstpage | 203 | |
dc.identifier.publicationissue | 1 | |
dc.identifier.publicationlastpage | 223 | |
dc.identifier.publicationtitle | Macroeconomic Dynamics | en |
dc.identifier.publicationvolume | 27 | |
dc.identifier.uri | https://hdl.handle.net/10016/38432 | |
dc.identifier.uxxi | AR/0000032860 | |
dc.language.iso | eng | en |
dc.publisher | Cambridge University Press | en |
dc.relation.projectID | Comunidad de Madrid. S2015/HUM-3444 | es |
dc.relation.projectID | Gobierno de España. ECO2016-00105-001 | es |
dc.relation.projectID | Gobierno de España. MDM 2014-0431 | es |
dc.relation.projectID | Gobierno de España. 2019/00419/001 | es |
dc.relation.projectID | AT-2022 | |
dc.rights | © The Author(s), 2021. | en |
dc.rights | Atribución 3.0 España | * |
dc.rights.accessRights | open access | en |
dc.rights.uri | http://creativecommons.org/licenses/by/3.0/es/ | * |
dc.subject.eciencia | Economía | es |
dc.subject.eciencia | Estadística | es |
dc.subject.other | Nonlinear Co-integration | en |
dc.subject.other | Nonlinear common trends | en |
dc.subject.other | Dynamic conditional score (DCS) | en |
dc.subject.other | Generalized autoregressive score (GAS) | en |
dc.subject.other | Quasi-vector autoregressive moving average (QVARMA) | en |
dc.title | Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate | en |
dc.type | research article | * |
dc.type.hasVersion | VoR | * |
dspace.entity.type | Publication |
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