Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations

Abstract

This article studies a simple, coherent approach for identifying and estimating error correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation analysis is implemented for both determining the cointegrating rank, using a strongly consistent method, and identifying the short-run VARMA dynamics, using the scalar component… (More)

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