MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART II

St phane Gregoir

Econometric Theory, 1999, vol. 15, issue 04, pages 469-518

Abstract: This paper extends the statistical results obtained by Gregoir and Laroque (1994, Journal of Econometrics 63, 183 214). It develops statistical tools to analyze multivariate time series that can be represented under an autoregressive equation of finite order with various polynomial error correction terms at various frequencies with possibly a non-null deterministic part as introduced by Gregoir (1999, Econometric Theory 15, 435 468). We propose an estimation procedure that proceeds through repeated applications of principal component analysis and a specification test for the omission of a polynomial relation of cointegration at each frequency.

Date: 1999

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:15:y:1999:i:04:p:469-518_15

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