Analysing I(2) Systems by Transformed Vector Autoregressions
Analysing I(2) Systems by Transformed Vector Autoregressions
复制标题
通过变换向量自回归分析 I(2) 系统
DOI：
10.1111/j.1468-0084.2004.00084.x
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发表时间：
2004
期刊：
影响因子：
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通讯作者：
Heino Bohn Nielsen
中科院分区：
文献类型：
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作者：
H. Kongsted;Heino Bohn Nielsen
我们描述了由最小I(2)到I(1)转换施加的限制，该转换是许多应用工作的基础，例如对货币需求关系或开放经济定价关系的限制。刻画了原始I(2)向量自回归的参数(包括多项式协整关系的系数)与变换后的I(1)模型之间的关系。我们讨论了有约束的变换模型的估计，以及更常用的无约束降阶回归方法。忽略经验例子和模拟研究中的限制，只会造成很小的效率损失。经过适当变换的向量自回归为I(2)模型的参数推断提供了一种实用而有效的手段。
We characterize the restrictions imposed by the minimal I(2)-to-I(1) transformation that underlies much applied work, e.g. on money demand relationships or open-economy pricing relationships. The relationship between the parameters of the original I(2) vector autoregression, including the coefficients of polynomially cointegrating relationships, and the transformed I(1) model is characterized. We discuss estimation of the transformed model subject to restrictions as well as the more commonly used approach of unrestricted reduced rank regression. Only a minor loss of efficiency is incurred by ignoring the restrictions in the empirical example and a simulation study. A properly transformed vector autoregression thus provides a practical and effective means for inference on the parameters of the I(2) model.
影响因子：
2.1
作者：
C. Granger;Tae-Hwy Lee
通讯作者：
C. Granger;Tae-Hwy Lee