Separation in cointegrated systems and persistent-transitory decompositions

Article Abstract:

The idea of separation in cointegrated systems is helpful as it enables the analyst to minimize the complexity of larger systems through the identification of plausible sub-system structures which create a smaller representation of the time series. Subsystem cointegration analysis is applicable to both partially or completely separated cointegrated systems. It will also demonstrate that, depending on the type of separation being tested, a calculation of the cointegrated system's common stochastic trends may yield attributes of the trends that differ.

Econometrics & Model Building, Econometrics, Business models, Instrumental variables (Statistics), Instrumental variables

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Short-run dynamics in cointegrated systems

Article Abstract:

A standard framework studies the time-domain characteristics of the permanent-transitory linear decompositions in the literature. An expression for the unobserved components of the decompositions is derived in terms of the matrices of the interim multiplier model of a cointegrated system. The results are advantageous for the interpretation of both long and short-run dynamics of a cointegrated system and also provide insight on the relation between the Beveridge-Nelson and the Gonzalo-Granger decompositions.

Analysis, Equations, Equations (Mathematics), Decomposition method

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Bootstrap and asymptotic tests of long-run relationships in cointegrated systems

Article Abstract:

The asymptotic test of cointegrated coefficiants and the ways to deal with them are described.

Statistical Data Included, Asymptotic expansions, Asymptotic distribution (Probability theory), Asymptotic efficiencies (Statistics)

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