Inference of vector autoregressive models with cointegration and scalar components

• 成果类型: Article
• 署名作者: Ahn, SK
• 署名单位: Pohang University of Science & Technology (POSTECH)
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.2307/2291480
• 发表日期: 1997
• 页码: 350-356
• 关键词: Common trends; time-series

摘要

For the partially nonstationary vector autoregressive model of Ahn and Reinsel, I further assume that the first differenced series has scalar components of lower order and study estimation of these models along with asymptotic properties of the estimators. It is shown that Gaussian reduced rank estimation can be easily carried out by simple modification of the Ahn and Reinsel's method. The asymptotic distribution for the estimator of the nonstationary parameter is a locally asymptotically mixed normal, and for that of the stationary parameter is asymptotically a normal. Testing hypothesis of the assumed structure of scalar components, including serial correlation common feature, is briefly discussed. A numerical example is provided to illustrate the methods.