A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing

A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing

We develop and discuss a parameterization of vector autoregressive moving average processes with arbitrary unit roots and (co)integration orders. The detailed analysis of the topological properties of the parameterization—based on the state space canonical form of Bauer and Wagner (2012)—is an essen...

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Bibliographic Details
Main Authors: Dietmar Bauer, Lukas Matuschek, Patrick de Matos Ribeiro, Martin Wagner
Format: Article
Language:English
Published: MDPI AG 2020-11-01
Series:Econometrics
Subjects:
canonical form
cointegration
hypothesis testing
parameterization
state space representation
unit roots
Online Access:https://www.mdpi.com/2225-1146/8/4/42

Internet

https://www.mdpi.com/2225-1146/8/4/42

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