Aktiviteter pr. år
Abstract
It is well known that if X_{t} is a nonstationary process and Y_{t} is a linear function of X_{t}, then cointegration of Y_{t} implies cointegration of X_{t}. We want to find an analogous result for common trends if X_{t} is generated by a finite order VAR with i.i.d. (0,Ω_{x}) errors ε_{xt}. We first show that Y_{t} has an infinite order VAR representation in terms of its white noise prediction errors, ε_{yt}, which are a linear process in ε_{xt}, the prediction error for X_{t}. We then apply this result to show that the limit of the common trends for Y_{t} generated by ε_{yt}, are linear functions of the common trends for X_{t}, generated by ε_{xt}.
We illustrate the findings with a small analysis of the term structure of interest rates.
We illustrate the findings with a small analysis of the term structure of interest rates.
| Originalsprog | Engelsk |
|---|---|
| Tidsskrift | Journal of Econometrics |
| Vol/bind | 178 |
| Udgave nummer | Part 2 |
| Sider (fra-til) | 310-315 |
| Antal sider | 6 |
| ISSN | 0304-4076 |
| DOI | |
| Status | Udgivet - jan. 2014 |
Aktiviteter
- 1 Foredrag og mundtlige bidrag
-
An asymptotic invariance property of the common trends under linear transformations of the data
Søren Johansen (Foredragsholder)
22 okt. 2013Aktivitet: Tale eller præsentation - typer › Foredrag og mundtlige bidrag