Autoregressive Approximations of Multiple Frequency I(1) Processes

Bauer, Dietmar and Wagner, Martin (September 2005) Autoregressive Approximations of Multiple Frequency I(1) Processes. IHS Economics Series 174


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Abstract or Table of Contents

Abstract: We investigate autoregressive approximations of multiple frequency I(1) processes. The underlying data generating process is assumed to allow for an infinite order autoregressive representation where the coefficients of the Wold representation of the suitably filtered process satisfy mild summability constraints. An important special case of this process class are MFI(1) VARMA processes. The main results link the approximation properties of autoregressions for the nonstationary multiple frequency I(1) process to the corresponding properties of a related stationary process, which are well known. First, uniform error bounds on the estimators of the autoregressive coefficients are derived. Second, the asymptotic properties of order estimators obtained with information criteria are shown to be closely related to those for the associated stationary process obtained by suitable filtering. For multiple frequency I(1) VARMA processes we establish divergence of order estimators basedon the BIC criterion at a rate proportional to the logarithm of the sample size.;

Item Type: IHS Series
Keywords: 'Unit roots' 'Multiple frequency I(1) process' 'Nonrational transfer function' 'Cointegration' 'VARMA process' 'Information criteria'
Classification Codes (e.g. JEL): C13, C32
Status: Published
Date Deposited: 26 Sep 2014 10:38
Last Modified: 03 Aug 2017 07:44

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