An alternative solution to the Autoregressivity Paradox in time series analysis

Gianluca Cubadda and Umberto Triacca ()

Economic Modelling, 2011, vol. 28, issue 3, 1451-1454

Abstract: 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.

Keywords: VAR; models; ARIMA; models; Final; equations (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0264-9993(11)00033-2
Full text for ScienceDirect subscribers only

Related works:
Working Paper: An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:28:y:2011:i:3:p:1451-1454

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().