Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian

Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate

Author(s): Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian

Editor: Universidad Carlos III de Madrid. Departamento de Economía

Issued date: 2019-05-19

ISSN: 2340-5031

xmlui.dri2xhtml.METS-1.0.item-contributor-funder: Comunidad de Madrid
Ministerio de Economía y Competitividad (España)

Sponsor: 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) and Comunidad de Madrid (MadEco-CM S2015/HUM-3444).

Serie/No.: Working paper. Economics
19-08

Project: Gobierno de España. ECO2015-65599-P
Gobierno de España. MDM 2014-0431
Comunidad de Madrid. S2015/HUM-3444/MadEco-CM

Keywords: Multivariate Dynamic Conditional Score (Dcs) Models , Robustness To Outliers , Cointegration , Common Trends , Quasi-Vector Autoregressive Moving Average (Qvarma) Model

JEL Classification: C32 , C51 , C52

URI: http://hdl.handle.net/10016/28451

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:

Co-integration and common trends are studied for time series variables, by introducing the new t-QVARMA (quasi-vector autoregressive moving average) model. t-QVARMA is an outlier-robust nonlinear score-driven model for the multivariate t-distribution. In t-QV [+]

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