Similar Search Results

Testing for common trends in conditional I(2) VAR models

Paolo, Paruolo - Facoltà di Economia, Università degli Studi dell'Insubria - 2002

processes (VAR). The statistical analysis is performed under the assumption that some variables are weakly exogenous with …

Persistent link: https://www.econbiz.de/10005827383

Common features and common I(2) trends in VAR systems

Paolo, Paruolo - Facoltà di Economia, Università degli Studi dell'Insubria - 2002

This paper discusses serial correlation common features, CF, and integration of order 2, I(2), in VAR systems. The … interplay of the CF restrictions and the I(2) conditions is discussed both for full VAR systems and for conditional systems with …

Persistent link: https://www.econbiz.de/10005827394

Identification of cointegrating relations in I(2) vector autoregressive models

Paruolo, Paolo; Mosconi, Rocco - Facoltà di Economia, Università degli Studi dell'Insubria - 2010

This paper discusses identification within a new parametrization for I(2) systems, where the integral and proportional control cointegrating relations are not necessarily orthogonal. The new parametrization, while equivalent to previously proposed ones, gives more flexibility in choosing the...

Persistent link: https://www.econbiz.de/10011204471

Asymptotic standard errors for common trends linear combinations in I(2) VAR systems

Paolo, Paruolo - Facoltà di Economia, Università degli Studi dell'Insubria

a vector autoregressive (VAR) process integrated of order 2,I(2). Standard errors of the row space of the MA impact …

Persistent link: https://www.econbiz.de/10005771899

Impact factors

Pieter, Omtzigt; Paolo, Paruolo - Facoltà di Economia, Università degli Studi dell'Insubria - 2002

define a sensitivit measure called impact factor, IF. We calculate this measure in VAR processes integrated of order 0, 1 and … 2. For VAR processes this measure is as simple function of the impulse response coefficients. For integrated VAR systems …

Persistent link: https://www.econbiz.de/10005771911

Common trends and cycles in I(2) VAR systems

Paolo, Paruolo - Facoltà di Economia, Università degli Studi dell'Insubria - 2003

This paper discusses common cycles in I(2) vector autoregressive (VAR) systems. Both static and dynamic cofeatures are … considered. We consider application of these notions to different choices of stationary variables extracted from a VAR, including …

Persistent link: https://www.econbiz.de/10005612147