Accepted for publication 01/03/2010.

This paper presents necessary and sufficient conditions for the existence of common cyclical features in Vector Auto Regressive (VAR) processes integrated of order 0, 1, 2, where the common cyclical features correspond to common serial correlation (CS), commonality in the final equations (CE) and co-dependence (CD). The results are based on local rank factorizations of the reversed AR polynomial around the poles of its inverse. All processes with CS structures are found to present also CE structures and vice versa. The presence of CD structures, instead, implies the presence of both CS and CE structures, but not vice versa. Characterizations of the CS, CE, CD linear combinations are given in terms of linear subspaces defined in the local rank factorizations. (C) 2010 Elsevier B.V. All rights reserved.

A characterization of vector autoregressive processes with common cyclical features / Franchi, Massimo; Paolo, Paruolo. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 163:1(2011), pp. 105-117. (Intervento presentato al convegno Conference on Factor Structures for Panel and Multivariate Time Series Data tenutosi a Maastricht, NETHERLANDS nel SEP 18-20, 2008) [10.1016/j.jeconom.2010.11.009].

A characterization of vector autoregressive processes with common cyclical features

FRANCHI, Massimo;
2011

Abstract

Accepted for publication 01/03/2010.
2011
This paper presents necessary and sufficient conditions for the existence of common cyclical features in Vector Auto Regressive (VAR) processes integrated of order 0, 1, 2, where the common cyclical features correspond to common serial correlation (CS), commonality in the final equations (CE) and co-dependence (CD). The results are based on local rank factorizations of the reversed AR polynomial around the poles of its inverse. All processes with CS structures are found to present also CE structures and vice versa. The presence of CD structures, instead, implies the presence of both CS and CE structures, but not vice versa. Characterizations of the CS, CE, CD linear combinations are given in terms of linear subspaces defined in the local rank factorizations. (C) 2010 Elsevier B.V. All rights reserved.
cointegration; common cycles; i(1); i(2); multiple time series
01 Pubblicazione su rivista::01a Articolo in rivista
A characterization of vector autoregressive processes with common cyclical features / Franchi, Massimo; Paolo, Paruolo. - In: JOURNAL OF ECONOMETRICS. - ISSN 0304-4076. - 163:1(2011), pp. 105-117. (Intervento presentato al convegno Conference on Factor Structures for Panel and Multivariate Time Series Data tenutosi a Maastricht, NETHERLANDS nel SEP 18-20, 2008) [10.1016/j.jeconom.2010.11.009].
File allegati a questo prodotto
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/144012
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 9
  • ???jsp.display-item.citation.isi??? 10
social impact