Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model

Xingzhi Yao, Marwan Izzeldin and Zhenxiong Li

Economics Letters, 2019, vol. 181, issue C, 160-163

Abstract: We propose a filtration technique for making inference in systems with I(0) and I(d) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I(0) variable are demonstrated using simulations.

Keywords: Long memory; Fractional co-integration; Model predictability (search for similar items in EconPapers)
JEL-codes: C15 C22 C5 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:181:y:2019:i:c:p:160-163

DOI: 10.1016/j.econlet.2019.05.031

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