scholarly journals Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

2017 ◽  
Vol 38 (2) ◽  
pp. 219-242 ◽  
Author(s):  
Sepideh Dolatabadi ◽  
Paresh Kumar Narayan ◽  
Morten Ørregaard Nielsen ◽  
Ke Xu
Keyword(s):  
Var Model ◽  
Cointegrated Var ◽  
Economic Significance

scholarly journals The representative household's demand for money in a cointegrated VAR model

2000 ◽  
Vol 3 (2) ◽  
pp. 162-176 ◽  
Author(s):  
Thórarinn G. Pétursson
Keyword(s):  
Var Model ◽  
Demand For Money ◽  
Cointegrated Var

scholarly journals Who is responsible for asymmetric fuel price adjustments? An application of the threshold cointegrated VAR model

2020 ◽  
Vol 20 (1) ◽  
pp. 59-73
Author(s):  
Emilia Gosińska ◽  
Katarzyna Leszkiewicz-Kędzior ◽  
Aleksander Welfe
Keyword(s):  
Var Model ◽  
Fuel Price ◽  
Cointegrated Var ◽  
Price Adjustments

A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility

2003 ◽  
pp. 207-212
Author(s):  
Bernhard Martin ◽  
Svetlozar T. Rachev
Keyword(s):  
Var Model ◽  
Time Varying ◽  
Cointegrated Var

scholarly journals Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications

2018 ◽  
Vol 45 (2) ◽  
pp. 283-300
Author(s):  
Jurgen A. Doornik
Keyword(s):  
Var Model ◽  
Cointegrated Var

scholarly journals Modeling Monetary Transmission in Switzerland with a Structural Cointegrated VAR Model

2008 ◽  
Vol 144 (2) ◽  
pp. 197-246 ◽  
Author(s):  
Katrin Assenmacher-Wesche
Keyword(s):  
Monetary Transmission ◽  
Var Model ◽  
Cointegrated Var

scholarly journals Nonstationary Cointegration in the Fractionally Cointegrated VAR Model

2018 ◽  
Author(s):  
Soren Johansen ◽  
Morten Orregaard Nielsen
Keyword(s):  
Var Model ◽  
Cointegrated Var

scholarly journals The Stochastic Stationary Root Model

Econometrics ◽  
2018 ◽  
Vol 6 (3) ◽  
pp. 39
Author(s):  
Andreas Hetland
Keyword(s):  
Likelihood Function ◽  
Asymptotic Properties ◽  
Information Matrix ◽  
Autoregressive Process ◽  
Var Model ◽  
Cointegrated Var ◽  
Observed Information ◽  
Observed Information Matrix ◽  
Root Model ◽  
Ml Estimator

We propose and study the stochastic stationary root model. The model resembles the cointegrated VAR model but is novel in that: (i) the stationary relations follow a random coefficient autoregressive process, i.e., exhibhits heavy-tailed dynamics, and (ii) the system is observed with measurement error. Unlike the cointegrated VAR model, estimation and inference for the SSR model is complicated by a lack of closed-form expressions for the likelihood function and its derivatives. To overcome this, we introduce particle filter-based approximations of the log-likelihood function, sample score, and observed Information matrix. These enable us to approximate the ML estimator via stochastic approximation and to conduct inference via the approximated observed Information matrix. We conjecture the asymptotic properties of the ML estimator and conduct a simulation study to investigate the validity of the conjecture. Model diagnostics to assess model fit are considered. Finally, we present an empirical application to the 10-year government bond rates in Germany and Greece during the period from January 1999 to February 2018.

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