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Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorBlazsek, Szabolcs
dc.contributor.authorEscribano, Álvaro
dc.contributor.authorLicht, Adrian
dc.contributor.funderComunidad de Madrides
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.contributor.funderAgencia Estatal de Investigación (España)es
dc.date.accessioned2023-09-25T08:11:45Z
dc.date.available2023-09-25T08:11:45Z
dc.date.issued2023-01
dc.description.abstractNonlinear 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.sponsorshipThe 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.extent21
dc.identifier.bibliographicCitationBlazsek, 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.doihttp://dx.doi.org/10.1017/S1365100521000365
dc.identifier.issn1365-1005
dc.identifier.publicationfirstpage203
dc.identifier.publicationissue1
dc.identifier.publicationlastpage223
dc.identifier.publicationtitleMacroeconomic Dynamicsen
dc.identifier.publicationvolume27
dc.identifier.urihttps://hdl.handle.net/10016/38432
dc.identifier.uxxiAR/0000032860
dc.language.isoengen
dc.publisherCambridge University Pressen
dc.relation.projectIDComunidad de Madrid. S2015/HUM-3444es
dc.relation.projectIDGobierno de España. ECO2016-00105-001es
dc.relation.projectIDGobierno de España. MDM 2014-0431es
dc.relation.projectIDGobierno de España. 2019/00419/001es
dc.relation.projectIDAT-2022
dc.rights© The Author(s), 2021.en
dc.rightsAtribución 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.ecienciaEstadísticaes
dc.subject.otherNonlinear Co-integrationen
dc.subject.otherNonlinear common trendsen
dc.subject.otherDynamic conditional score (DCS)en
dc.subject.otherGeneralized autoregressive score (GAS)en
dc.subject.otherQuasi-vector autoregressive moving average (QVARMA)en
dc.titleCo-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rateen
dc.typeresearch article*
dc.type.hasVersionVoR*
dspace.entity.typePublication
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