期刊名称：Economics - The Open-Access, Open-Assessment E-Journal
印刷版ISSN：1864-6042
出版年度：2016
卷号：10
页码：1-41
出版社：Kiel Institute for the World Economy
摘要：There are a number of econometrics tools to deal with the different types of situations in which cointegration can appear: I(1), I(2), seasonal, polyno- mial, etc. There are also different kinds of Vector Error Correction models related to these situations. The authors propose a unified theoretical and practical framework to deal with many of these situations. To this aim: (i) they introduce a general class of models and (ii) provide an automatic method to identify models, based on estimating the Smith form of an autoregressive model. Their simulations suggest the power of the new proposed methodology. An empirical example illustrates the methodology.
关键词：Time series; unit root; cointegration; error correction; model identification; Smith form
