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Studying co-movements in large multivariate data prior to multivariate modelling

[journal article]

Cubadda, Gianluca
Hecq, Alain
Palm, Franz C.

Abstract

For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-integrated-moving average (ARIMA hereafter) ... view more

For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-integrated-moving average (ARIMA hereafter) models. This finding can explain why we identify parsimonious univariate ARIMA models in applied research although VAR models of typical order and dimension used in macroeconometrics imply non-parsimonious univariate ARIMA representations. Next, we develop a strategy for studying interactions between variables prior to possibly modelling them in a multivariate setting. Indeed, the similarity of the autoregressive roots will be informative about the presence of co-movements in a set of multiple time series. Our results justify both the use of a panel setup with homogeneous autoregression and heterogeneous cross-correlated vector moving average errors and a factor structure, and the use of cross-sectional aggregates of ARIMA series to estimate the homogeneous autoregression.... view less

Keywords
panel; analysis; time series

Classification
Economic Statistics, Econometrics, Business Informatics
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods

Free Keywords
Interactions; Multiple time series; Co-movements; ARIMA; Cointegration; Common cycles; Dynamic panel data; JEL classification: C32

Document language
English

Publication Year
2009

Page/Pages
p. 25-35

Journal
Journal of Econometrics, 148 (2009) 1

DOI
https://doi.org/10.1016/j.jeconom.2008.08.026

Status
Postprint; peer reviewed

Licence
PEER Licence Agreement (applicable only to documents from PEER project)


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© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.