کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096695 | 1376543 | 2011 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A characterization of vector autoregressive processes with common cyclical features
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: A characterization of vector autoregressive processes with common cyclical features A characterization of vector autoregressive processes with common cyclical features](/preview/png/5096695.png)
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 163, Issue 1, July 2011, Pages 105-117
Journal: Journal of Econometrics - Volume 163, Issue 1, July 2011, Pages 105-117
نویسندگان
Massimo Franchi, Paolo Paruolo,