Tobias Hartl, Rolf Tschernig, Enzo Weber
arXiv 8 May 2020 · Econometrics · 2 citations (OpenAlex)
arXiv:2005.03988 · PDF · DOI · OpenAlex · Extracted main text
We develop a generalization of unobserved components models that allows for a wide range of long-run dynamics by modelling the permanent component as a fractionally integrated process. The model does not require stationarity and can be cast in state space form. In a multivariate setup, fractional trends may yield a cointegrated system. We derive the Kalman filter estimator for the common fractionally integrated component and establish consistency and asymptotic (mixed) normality of the maximum likelihood estimator. We apply the model to extract a common long-run component of three US inflation measures, where we show that the $I(1)$ assumption is likely to be violated for the common trend.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hartl \ Weigand (2019) Approximate state space modelling of unobserved fractional components, Papers, arXiv.org | 1.000 | 6 | 3 | 100% |
| 2 | Chang, Miller \ Park (2009) Extracting a common stochastic trend: Theory with some applications, Journal of Econometrics 150(2): 231–247 | 0.923 | 28 | 6 | 79% |
| 3 | Johansen \ Nielsen (2012) Likelihood inference for a fractionally cointegrated vector autoregressive model, Econometrica 80(6): 2667–2732 | 0.737 | 3 | 2 | 100% |
| 4 | Davidson (2000) Econometric Theory, Blackwell Publishers | 0.644 | 5 | 2 | 40% |
| 5 | Chan \ Palma (1998) State space modeling of long-memory processes, The Annals of Statistics 26(2): 719–740 | 0.644 | 2 | 2 | 100% |
| 6 | Hassler \ Wolters (1995) Long memory in inflation rates: International evidence, Journal of Business & Economic Statistics 13(1): 37–45 | 0.644 | 2 | 2 | 100% |
| 7 | Morley, Nelson \ Zivot (2003) Why are the Beveridge-Nelson and unobserved-components decompositions of GDP so different?, The Review of Economics and Statisti… | 0.644 | 2 | 2 | 100% |
| 8 | Weber (2011) Analyzing U.S. output and the great moderation by simultaneous unobserved components, Journal of Money, Credit and Banking 43(8)… self | 0.644 | 2 | 2 | 100% |
| 9 | Nielsen (2015) Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models, Journal of Time Series A… | 0.606 | 12 | 2 | 33% |
| 10 | Johansen (2008) A representation theory for a class of vector autoregressive models for fractional processes, Econometric Theory 24(3): 651–676 | 0.511 | 2 | 1 | 100% |
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