A three-step procedure for estimating and testing cointegrated ARMAX models

Taro Takimoto, Yuzo Hosoya

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

To deal with a variety of inferential problems on non-stationary cointegrated time series, this paper proposes a computationally feasible method based on the Whittle likelihood and examines its performance. For the empirical application of our method, the paper investigates three sets of Japanese and US monetary and financial time-series data. To evaluate the p-value of the likelihood ratio statistic, we propose an approximation procedure based on the gamma distribution and the accompanying Laguerre expansion for reducing the computational burden. We also provide a numerical procedure for the asymptotic covariance matrix of the Whittle estimator.

Original languageEnglish
Pages (from-to)418-450
Number of pages33
JournalJapanese Economic Review
Volume55
Issue number4
DOIs
Publication statusPublished - Jan 1 2004

Fingerprint

Testing
Approximation
Financial time series
Burden
Likelihood ratio statistic
P value
Estimator
Covariance matrix
Time series data
Gamma distribution

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

A three-step procedure for estimating and testing cointegrated ARMAX models. / Takimoto, Taro; Hosoya, Yuzo.

In: Japanese Economic Review, Vol. 55, No. 4, 01.01.2004, p. 418-450.

Research output: Contribution to journalArticle

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