Cointegration Analysis with State Space Models

Wagner, MartinORCID: (February 2010) Cointegration Analysis with State Space Models. Former Series > Working Paper Series > IHS Economics Series 248


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Abstract: This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these definitions the major part of the paper discusses how state space models, which are equivalent to VARMA models, can be fruitfully employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1) and I(2) cases, a canonical representation is developed and thereafter some available statistical results are briefly mentioned.;

Item Type: IHS Series
Keywords: 'State space models' 'Unit roots' 'Cointegration' 'Polynomial cointegration' 'Pseudo maximum likelihood estimation' 'Subspace algorithms'
Classification Codes (e.g. JEL): C13, C32
Date Deposited: 26 Sep 2014 10:39
Last Modified: 14 Jun 2024 10:48
ISBN: 1605-7996

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