Authors
Dietmar Bauer, Martin Wagner
Publication date
2002/11/1
Journal
Journal of Econometrics
Volume
111
Issue
1
Pages
47-84
Publisher
North-Holland
Description
The properties of the so-called subspace algorithms, up to now used almost only for stationary processes, are investigated in the context of cointegrated processes of order 1. It is shown for one of these algorithms that it can be adapted to deliver consistent estimates of all system parameters in the case of general I(1) VARMA models and mild conditions on the underlying noise. Estimates of the cointegrating space are derived and several test procedures for the cointegrating rank are proposed. Consistent estimation of the system order is also discussed. A simulation study shows the usefulness of subspace algorithms for estimation of and testing in cointegrated systems.
Total citations
Scholar articles
D Bauer, M Wagner - Journal of Econometrics, 2002