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Periodic VAR Processes and Intervention Models

  • Helmut Lütkepohl
Chapter

Abstract

In Part II of the book, we have considered cointegrated VAR models and we have seen that they give rise to nonstationary processes with potentially time varying first and second moments. Yet the models have time invariant coefficients. Nonstationarity, that is, time varying first and/or second moments of a process, can also be modelled in the framework of time varying coefficient processes. Suppose, for instance, that the time series under consideration show a seasonal pattern.

Keywords

Intervention Model Likelihood Ratio Statistic Periodic Model Error Covariance Matrix Periodic Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Helmut Lütkepohl
    • 1
  1. 1.Department of EconomicsEuropean University InstituteFirenzeItaly

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