The Vector Error Correction Index Model: Representation, Estimation and Identification

IF 2.9 4区 经济学 Q1 ECONOMICS
Gianluca Cubadda, Marco Mazzali
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引用次数: 0

Abstract

Abstract This paper extends the multivariate index autoregressive model by Reinsel (1983) to the case of cointegrated time series of order (1,1). In this new modelling, namely the Vector Error-Correction Index Model (VECIM), the first differences of series are driven by some linear combinations of the variables, namely the indexes. When the indexes are significantly fewer than the variables, the VECIM achieves a substantial dimension reduction w.r.t. the Vector Error Correction Model. We show that the VECIM allows one to decompose the reduced form errors into sets of common and uncommon shocks, and that the former can be further decomposed into permanent and transitory shocks. Moreover, we offer a switching algorithm for optimal estimation of the VECIM. Finally, we document the practical value of the proposed approach by both simulations and an empirical application, where we search for the shocks that drive the aggregate fluctuations at different frequency bands in the US.
向量误差修正指数模型:表示、估计与辨识
摘要本文将Reinsel(1983)的多元指数自回归模型推广到(1,1)阶协整时间序列的情况。在这种新的模型中,即矢量误差校正指数模型(Vector Error-Correction Index Model, VECIM),序列的一阶差是由变量(即指标)的一些线性组合驱动的。当索引明显小于变量时,VECIM实现了向量误差修正模型(Vector Error Correction Model)的大幅降维。我们证明了VECIM允许将简化形式误差分解为常见冲击和不常见冲击的集合,并且前者可以进一步分解为永久冲击和短暂冲击。此外,我们还提供了一种切换算法来实现VECIM的最优估计。最后,我们通过模拟和经验应用证明了所提出方法的实用价值,其中我们寻找驱动美国不同频段总波动的冲击。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Econometrics Journal
Econometrics Journal 管理科学-数学跨学科应用
CiteScore
4.20
自引率
5.30%
发文量
25
审稿时长
>12 weeks
期刊介绍: The Econometrics Journal was established in 1998 by the Royal Economic Society with the aim of creating a top international field journal for the publication of econometric research with a standard of intellectual rigour and academic standing similar to those of the pre-existing top field journals in econometrics. The Econometrics Journal is committed to publishing first-class papers in macro-, micro- and financial econometrics. It is a general journal for econometric research open to all areas of econometrics, whether applied, computational, methodological or theoretical contributions.
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