An alternative solution to the Autoregressivity Paradox in time series analysis

被引：1

作者：

Cubadda, Gianluca ^{[2
]}

Triacca, Umberto ^{[1
]}

机构：

[1] Univ Aquila Roio Poggio, I-67040 Laquila, Italy

[2] Univ Roma Tor Vergata, Dipartimento SEFeMEQ, I-00133 Rome, Italy

来源：

ECONOMIC MODELLING | 2011年 / 28卷 / 03期

关键词：

VAR models; ARIMA models; Final equations;

D O I：

10.1016/j.econmod.2011.02.015

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and methods of the paper are illustrated via an empirical investigation of the low-frequency properties of hours worked in the US. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1451 / 1454

页数：4

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