Christian Gourieroux, Joann Jasiak
arXiv 18 Feb 2022 · Econometrics · publishedJournal of Econometrics (2024) · 3 citations (OpenAlex)
arXiv:2202.09473 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces a local-to-unity/small sigma process for a stationary time series with strong persistence and non-negligible long run risk. This process represents the stationary long run component in an unobserved short- and long-run components model involving different time scales. More specifically, the short run component evolves in the calendar time and the long run component evolves in an ultra long time scale. We develop the methods of estimation and long run prediction for the univariate and multivariate Structural VAR (SVAR) models with unobserved components and reveal the impossibility to consistently estimate some of the long run parameters. The approach is illustrated by a Monte-Carlo study and an application to macroeconomic data.
appendix boundary found by none_found · 100% of the source is main text. Read the extracted text to check this.