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

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dc.contributor.author Blazsek, Szabolcs
dc.contributor.author Escribano, Álvaro
dc.contributor.author Licht, Adrian
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned 2019-07-31T11:52:56Z
dc.date.available 2019-07-31T11:52:56Z
dc.date.issued 2019-05-19
dc.identifier.issn 2340-5031
dc.identifier.uri http://hdl.handle.net/10016/28451
dc.description.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-QVARMA, the I(0) and I(1) components of the variables are separated in a way that is similar to the Granger-representation of VAR models. The relationship between the co-integrated federal funds effective rate and United States (US) inflation rate variables is studied for the period of July 1954 to January 2019. The in-sample statistical and out-of-sample forecasting performances of t-QVARMA are superior to those of the classical Gaussian-VAR model
dc.description.sponsorship 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).
dc.language.iso eng
dc.relation.ispartofseries Working paper. Economics
dc.relation.ispartofseries 19-08
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Multivariate Dynamic Conditional Score (Dcs) Models
dc.subject.other Robustness To Outliers
dc.subject.other Cointegration
dc.subject.other Common Trends
dc.subject.other Quasi-Vector Autoregressive Moving Average (Qvarma) Model
dc.title Co-integration and common trends analysis with score-driven models : an application to the federal funds effective rate and US inflation rate
dc.type workingPaper
dc.subject.jel C32
dc.subject.jel C51
dc.subject.jel C52
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2015-65599-P
dc.relation.projectID Gobierno de España. MDM 2014-0431
dc.relation.projectID Comunidad de Madrid. S2015/HUM-3444/MadEco-CM
dc.type.version draft
dc.identifier.uxxi DT/0000001711
dc.date.updated 2019-07-19
dc.contributor.funder Consejería de Educación, Juventud y Deporte, Comunidad de Madrid
dc.contributor.funder Ministerio de Economía y Competitividad (España)
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