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  • 1-s2.0-S0165176519301909-main

    Rights statement: This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 18, 2019 DOI: 10.1016/j.econlet.2019.05.031

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Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Published
<mark>Journal publication date</mark>1/08/2019
<mark>Journal</mark>Economics Letters
Volume181
Number of pages4
Pages (from-to)160-163
Publication StatusPublished
Early online date21/05/19
<mark>Original language</mark>English

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.

Bibliographic note

This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 18, 2019 DOI: 10.1016/j.econlet.2019.05.031