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