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Abstract We propose a filtration technique for making inference in systems with I ( 0 ) and I ( d ) variables using the fractionally co-integrated vector autoregressive (FCVAR) model… Click to show full abstract
Abstract We propose a filtration technique for making inference in systems with I ( 0 ) and I ( d ) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I ( 0 ) variable are demonstrated using simulations.
Keywords:
variables using;
using fractionally;
fractionally integrated;
model;
modelling systems;
systems mixture
Journal Title: Economics Letters
Year Published: 2019
Link to full text (if available)
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Journal Title: Economics Letters
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!