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Autor:innen: 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 248
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these definitions the major part of the paper discusses how state space models, which are equivalent to VARMA models, can be fruitfully employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1) and I(2) cases, a canonical representation is developed and thereafter some available statistical results are briefly mentioned.
Schlagwörter: 
state space models
unit roots
cointegration
polynomial cointegration
pseudo maximum likelihood estimation
subspace algorithms
JEL: 
C13
C32
Dokumentart: 
Working Paper

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