Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model

Xingzhi Yao; Marwan Izzeldin; Zhenxiong Li

doi:10.1016/j.econlet.2019.05.031

Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model

Xingzhi Yao^*
, Marwan Izzeldin
, Zhenxiong Li

^*Corresponding author for this work

Lancaster University

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

We propose a filtration technique for making inference in systems with I(0) and I(d) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I(0) variable are demonstrated using simulations.

Original language	English
Pages (from-to)	160-163
Number of pages	4
Journal	Economics Letters
Volume	181
DOIs	https://doi.org/10.1016/j.econlet.2019.05.031
Publication status	Published - Aug 2019

Keywords

Fractional co-integration
Long memory
Model predictability

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10.1016/j.econlet.2019.05.031

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title = "Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model",

abstract = "We propose a filtration technique for making inference in systems with I(0) and I(d) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I(0) variable are demonstrated using simulations.",

keywords = "Fractional co-integration, Long memory, Model predictability",

author = "Xingzhi Yao and Marwan Izzeldin and Zhenxiong Li",

note = "Publisher Copyright: {\textcopyright} 2019 Elsevier B.V.",

year = "2019",

month = aug,

doi = "10.1016/j.econlet.2019.05.031",

language = "English",

volume = "181",

pages = "160--163",

journal = "Economics Letters",

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T1 - Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model

AU - Yao, Xingzhi

AU - Izzeldin, Marwan

AU - Li, Zhenxiong

PY - 2019/8

Y1 - 2019/8

N2 - We propose a filtration technique for making inference in systems with I(0) and I(d) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I(0) variable are demonstrated using simulations.

AB - We propose a filtration technique for making inference in systems with I(0) and I(d) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I(0) variable are demonstrated using simulations.

KW - Fractional co-integration

KW - Long memory

KW - Model predictability

UR - https://www.scopus.com/pages/publications/85065879009

U2 - 10.1016/j.econlet.2019.05.031

DO - 10.1016/j.econlet.2019.05.031

M3 - Article

AN - SCOPUS:85065879009

SN - 0165-1765

VL - 181

SP - 160

EP - 163

JO - Economics Letters

JF - Economics Letters

ER -

Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model

Abstract

Keywords

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