Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/147300
Authors: 
Arbués, Ignacio
Ledo, Ramiro
Matilla-García, Mariano
Year of Publication: 
2016
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 10 [Issue:] 2016-26 [Pages:] 1-41
Abstract: 
There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Vector Error Correction models related to these situations. The authors propose a unified theoretical and practical framework to deal with many of these situations. To this aim: (i) they introduce a general class of models and (ii) provide an automatic method to identify models, based on estimating the Smith form of an autoregressive model. Their 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
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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