dc.contributor.author |
Dolado, Juan José
|
dc.contributor.author |
Mármol, Francesc |
dc.date.accessioned |
2009-01-30T12:49:15Z |
dc.date.available |
2009-01-30T12:49:15Z |
dc.date.issued |
2004 |
dc.identifier.bibliographicCitation |
The Econometrics Journal, 2004, 7, 1, p. 168-190 |
dc.identifier.issn |
1368-4221 |
dc.identifier.uri |
http://hdl.handle.net/10016/3207 |
dc.description.abstract |
In this paper, we extend the well-known Sims, Stock and Watson (SSW)(Sims et al. 1990; Econometrica 56, 113?44), analysis on estimation and testing in vector autoregressive process (VARs) with integer unit roots and deterministic components to a more general set-up where non-stationary fractionally integrated (NFI) processes are considered. In particular, we focus on partial VAR models where the conditioning variables are NFI since this is the only finite-lag VAR model compatible with such processes. We show how SSW?s conclusions remain valid. This means that whenever a block of coefficients in the partial VAR can be written as coefficients on zero-mean I(0) regressors in models including a constant term, they will have a joint asymptotic normal distribution. Monte Carlo simulations and an empirical application of our theoretical results are also provided. |
dc.format.mimetype |
text/plain |
dc.format.mimetype |
application/pdf |
dc.language.iso |
eng |
dc.publisher |
Blackwell |
dc.rights |
© Blackwell |
dc.subject.other |
Vector fractionally integrated processes |
dc.subject.other |
Fractional cointegration |
dc.subject.other |
Granger causality |
dc.subject.other |
Permanent income hypothesis |
dc.title |
Asymptotic inference results for multivariate long-memory processes |
dc.type |
article |
dc.type.review |
PeerReviewed |
dc.description.status |
Publicado |
dc.relation.publisherversion |
The definitive version is available at www.blackwell-synergy.com |
dc.relation.publisherversion |
http://dx.doi.org/10.1111/j.1368-423X.2004.00126.x |
dc.subject.eciencia |
Economía |
dc.identifier.doi |
10.1111/j.1368-423X.2004.00126.x |
dc.rights.accessRights |
openAccess |