Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77485
Authors: 
Kascha, Christian
Trenkler, Carsten
Year of Publication: 
2011
Series/Report no.: 
Working Paper Series, Department of Economics, University of Zurich 33
Abstract: 
We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final moving representation which is usually simpler but not as parsimonious than the usual Echelon form. Furthermore, we proof that our specification strategy is consistent also in the case of cointegrated series. In order to show the potential usefulness of the method, we apply it to US interest rates and find that it generates forecasts superior to methods which do not allow for moving-average terms.
Subjects: 
Cointegration
VARMA Models
Forecasting
JEL: 
C32
C53
E43
E47
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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