Detecting Common Dynamics in Transitory Components
نویسندگان
چکیده
منابع مشابه
Detecting Common Dynamics in Transitory Components
This paper considers VAR/VECM models for variables exhibiting cointegration and common features in the transitory components. While the presence of cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction in the short-run dynamics. These common transitory components arise when linear combination of the first differenced variables in...
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ژورنال
عنوان ژورنال: Journal of Time Series Econometrics
سال: 2011
ISSN: 1941-1928
DOI: 10.2202/1941-1928.1088