TY - JOUR

T1 - Modelling systems with a mixture of I (d) and I (0) variables using the fractionally co-integrated VAR model

AU - Yao, Xingzhi

AU - Izzeldin, Marwan

AU - Li, Zhenxiong

N1 - 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

PY - 2019/8/1

Y1 - 2019/8/1

N2 - 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.

AB - 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.

KW - Long memory

KW - Fractional co-integration

KW - Model predictability

U2 - 10.1016/j.econlet.2019.05.031

DO - 10.1016/j.econlet.2019.05.031

M3 - Journal article

VL - 181

SP - 160

EP - 163

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -