An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis

This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and methods of the paper are illustrated via an empirical investigation of the low-frequency properties of hours worked in the US.

MoreLess

Year of publication:	2011-01-24
Authors:	Cubadda, Gianluca ; Triacca, Umberto
Institutions:	Centro di Studi Internazionali Sull'Economia e la Sviluppo (CEIS), Facoltà di Economia
Subject:	VAR Models \| ARIMA Models \| Final Equations

More details

Extent:	application/pdf
Series:	CEIS Research Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 184 9 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008800767