Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/142770
Authors: 
Arbués, Ignacio
Ledo, Ramiro
Matilla-García, Mariano
Year of Publication: 
2016
Series/Report no.: 
Economics Discussion Papers 2016-33
Abstract: 
There are a number of econometrics tools to deal with the different type of situations in which cointegration can appear: I(1), I(2), seasonal, polynomial, etc. There are also different kinds of Vector Error Correction models related to these situations. We propose a unified theoretical and practical framework to deal with many of these situations. To this aim: (i) a general class of models is introduced in this paper and (ii) an automatic method to identify models, based on estimating the Smith form of an autoregressive model, is provided. Our simulations suggest the power of the new proposed methodology. An empirical example illustrates the methodology.
Subjects: 
time series
unit root
cointegration
error correction
model identification
Smith form
JEL: 
C01
C22
C32
C51
C52
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Working Paper

Files in This Item:
File
Size
351.08 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.