Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247590 
Year of Publication: 
2020
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 8 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-54
Publisher: 
MDPI, Basel
Abstract: 
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 essential input for establishing statistical and numerical properties of pseudo maximum likelihood estimators as well as, e.g., pseudo likelihood ratio tests based on them. The general results are exemplified in detail for the empirically most relevant cases, the (multiple frequency or seasonal) I(1) and the I(2) case. For these two cases we also discuss the modeling of deterministic components in detail.
Subjects: 
canonical form
cointegration
hypothesis testing
parameterization
state space representation
unit roots
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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