Automatic identification of general vector error correction models

Ignacio Arbués, Ramiro Ledo and Mariano Matilla-García

No 2016-33, Economics Discussion Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: There are a number of econometrics tools to deal with the different type of situations in which cointegration can appear: I(1), I(2), seasonal, polynomial, etc. There are also different kinds of Vector Error Correction models related to these situations. We propose a unified theoretical and practical framework to deal with many of these situations. To this aim: (i) a general class of models is introduced in this paper and (ii) an automatic method to identify models, based on estimating the Smith form of an autoregressive model, is provided. Our simulations suggest the power of the new proposed methodology. An empirical example illustrates the methodology.

Keywords: time series; unit root; cointegration; error correction; model identification; Smith form (search for similar items in EconPapers)
JEL-codes: C01 C22 C32 C51 C52 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-ecm, nep-ger and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwedp:201633

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