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Cointegration Analysis with State Space Models

Martin Wagner

No 248, Economics Series from Institute for Advanced Studies

Abstract: This paper presents and exemplifies results developed for cointegration analysis with state space models by Bauer and Wagner in a series of papers. Unit root processes, cointegration and polynomial cointegration are defined. Based upon these definitions the major part of the paper discusses how state space models, which are equivalent to VARMA models, can be fruitfully employed for cointegration analysis. By means of detailing the cases most relevant for empirical applications, the I(1), MFI(1) and I(2) cases, a canonical representation is developed and thereafter some available statistical results are briefly mentioned.

Keywords: State space models; unit roots; cointegration; polynomial cointegration; pseudo maximum likelihood estimation; subspace algorithms (search for similar items in EconPapers)
JEL-codes: C13 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2010-02
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http://www.ihs.ac.at/publications/eco/es-248.pdf First version, 2010 (application/pdf)

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