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

Taro Takimoto, Yuzo Hosoya

研究成果: Contribution to journalArticle査読

1 被引用数 (Scopus)

抄録

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.

本文言語英語
ページ(範囲)418-450
ページ数33
ジャーナルJapanese Economic Review
55
4
DOI
出版ステータス出版済み - 12 2004
外部発表はい

All Science Journal Classification (ASJC) codes

  • 経済学、計量経済学

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