In this paper we present a simulation study as well as two applications of a newly proposed approach towards I(1) cointegration using so-called state-space error correction models (SSECMs). SSECMs have been introduced in Ribarits and Hanzon (2014) where questions of model selection,...

In this paper we consider cointegrated I (1) processes in the state-space framework. We introduce the state-space error correction model (SSECM) and discuss in detail how to estimate SSECMs by (pseudo) maximum likelihood methods, including reduced rank regression techniques which allow for a...