Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72688
Authors: 
Wagner, Martin
Year of Publication: 
2010
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 248
Abstract: 
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.
Subjects: 
state space models
unit roots
cointegration
polynomial cointegration
pseudo maximum likelihood estimation
subspace algorithms
JEL: 
C13
C32
Document Type: 
Working Paper

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