Bauer, Dietmar ; Matuschek, Lukas; de Matos Ribeiro, Patrick; Wagner, Martin: A Parameterization of Models for Unit Root Processes: Structure Theory and Hypothesis Testing. In: Econometrics. Jg.8 H. 4. 2020
Inhalt
- Vector Autoregressive, Vector Autoregressive Moving Average Processes and Parameterizations
- The Canonical Form and the Parameterization
- The Parameterization in the MFI(1) Case
- The Parameterization in the I(2) Case
- The Parameterization in the General Case
- The Topological Structure
- Testing Commonly Used Hypotheses in the MFI(1) and I(2) Cases
- The MFI(1) Case
- Testing Hypotheses on the State Space Unit Root Structure
- Testing Hypotheses on CIVs and PCIVs
- Testing Hypotheses on the Adjustment Coefficients
- Restrictions on the Deterministic Components
- The I(2) Case
- Summary and Conclusions
- Proofs of the Results of Section 3
- Proofs of the Results of Section 4
- References