Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096893 | Journal of Econometrics | 2010 | 14 Pages |
Abstract
Quasi-maximum-likelihood (QML) estimation of a model combining cointegration in the conditional mean and rare large shocks (outliers) with a factor structure in the innovations is studied. The goal is not only to robustify inference on the conditional-mean parameters, but also to find regularities and conduct inference on the instantaneous and long-run effect of the large shocks. Given the cointegration rank and the factor order, Ï2 asymptotic inference is obtained for the cointegration vectors, the short-run parameters, and the direction of each column of both the factor loading matrix and the matrix of long-run impacts of the large shocks. Large shocks, whose location is assumed unknown a priori, can be detected and classified consistently into the factor components.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Iliyan Georgiev,