Cointegrated VARMA Models and Forecasting US Interest Rates
نویسندگان
چکیده
منابع مشابه
Cointegrated VARMA Models and Forecasting US Interest Rates
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. Furt...
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Cointegrated VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three diierent methods for estimating the Kronecker indices of cointegrated echelon form VARMA models are discussed and compared. They have the common feature of estimating the individual equations of the system separately and using order selection criteria. The small sampl...
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Although the scalar components methodology used to build VARMA models is rather difficult, the VAR models application being easier in practice, the forecasts based on the first models have a higher degree of accuracy. This statement is demonstrated for variables like the 3-month Treasury bill rate and the spread between the 10 year government bond yield, where the quarterly data are from the U....
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1957103