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dc.contributor.authorPARUOLO PAOLOen_GB
dc.contributor.authorFRANCHI Massimoen_GB
dc.date.accessioned2011-05-31T00:00:45Z-
dc.date.available2011-05-30en_GB
dc.date.available2011-05-31T00:00:45Z-
dc.date.created2011-05-23en_GB
dc.date.issued2011en_GB
dc.date.submitted2009-07-27en_GB
dc.identifier.citationJOURNAL OF ECONOMETRICS vol. 163 no. 1 p. 105–117en_GB
dc.identifier.issn0304-4076en_GB
dc.identifier.urihttp://publications.jrc.ec.europa.eu/repository/handle/JRC53382-
dc.description.abstractThis paper presents necessary and sufficient conditions for the existence of common cyclical features in Vector Autoregressive (VAR) process integrated of order 0, 1, 2, where the common cyclical features correspond to serial correlation common features CS, commonality in the final equations CE and codependence CD. The results are based on polynomial 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 polynomial rank factorizations.en_GB
dc.description.sponsorshipJRC.DG.G.3-Econometrics and applied statisticsen_GB
dc.format.mediumPrinteden_GB
dc.languageENGen_GB
dc.publisherELSEVIER SCIENCE SAen_GB
dc.relation.ispartofseriesJRC53382en_GB
dc.titleA characterization of vector autoregressive processes with common cyclical featuresen_GB
dc.typeArticles in periodicals and booksen_GB
dc.identifier.doi10.1016/j.jeconom.2010.11.009en_GB
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