EconPapers    
Economics at your fingertips  
 

Co-integration and common trends analysis with score-driven models: an application to the federal funds effective rate and US inflation rate

Szabolcs Blazsek (), Adrian Licht and Alvaro Escribano ()

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: Co-integration and common trends are studied for time series variables, by introducing the new t-QVARMA (quasi-vector autoregressive moving average) model. t-QVARMA is an outlier-robust nonlinear score-driven model for the multivariate t-distribution. In t-QVARMA, the I(0) and I(1) components of the variables are separated in a way that is similar to the Granger-representation of VAR models. The relationship between the co-integrated federal funds effective rate and United States (US) inflation rate variables is studied for the period of July 1954 to January 2019. The in-sample statistical and out-of-sample forecasting performances of t-QVARMA are superior to those of the classical Gaussian-VAR model

Keywords: Quasi-Vector; Autoregressive; Moving; Average; (Qvarma); Model; Common; Trends; Cointegration; Robustness; To; Outliers; Multivariate; Dynamic; Conditional; Score; (Dcs); Models (search for similar items in EconPapers)
JEL-codes: C52 C51 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2019-05-19
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://e-archivo.uc3m.es/bitstream/handle/10016/28451/we1908.pdf?sequence=3 (application/pdf)

Related works:
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:cte:werepe:28451

Access Statistics for this paper

More papers in UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía
Bibliographic data for series maintained by Ana Poveda ().

 
Page updated 2019-09-17
Handle: RePEc:cte:werepe:28451