Inference of Vector Autoregressive Models With Cointegration and Scalar Components

Sung K. Ahn

31 citations0/0 files storedJournal of the American Statistical Association

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Abstract

For the partially nonstationary vector autoregressive model of Ann 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.

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References

1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1957Theory of the Consumption Function 1988Testing for Common Trends 1990Seasonal integration and cointegration 1958A Theory of the Consumption Function 1991Optimal Inference in Cointegrated Systems

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