Modelling systems with a mixture of Ⅰ(d) and Ⅰ(0) variables using the fractionally co-integrated VAR model

摘要

We propose a filtration technique for making inference in systems with I(0) and I(d) variables using the fractionally co-integrated vector autoregressive (FCVAR) model with long memory in the co-integrating residuals. Superior predictions for the I(0) variable are demonstrated using simulations. (C) 2019 Elsevier B.V. All rights reserved.