Common cyclical features analysis in VAR models with cointegration |
| |
Authors: | Alain Hecq Franz C. PalmJean-Pierre Urbain |
| |
Affiliation: | Department of Quantitative Economics, University of Maastricht, P.O. Box 616, 6200 MD Maastricht, The Netherlands |
| |
Abstract: | The paper considers n-dimensional VAR models for variables exhibiting cointegration and common cyclical features. Two specific reduced rank vector error correction models are discussed. In one, named the “strong form” and denoted by SF, the collection of all coefficient matrices of a VECM has rank less than n, in the other, named the “weak form” and denoted by WF, the collection of all coefficient matrices except the matrix of coefficient of error correction terms has rank less than n. The paper explores the theoretical connections between these two forms, suggests asymptotic tests for each form and examines the small sample properties of these tests by Monte Carlo simulations. |
| |
Keywords: | C32 |
本文献已被 ScienceDirect 等数据库收录! |
|