Codependence in cointegrated autoregressive models
协整自回归模型中的共同依赖周期
Abstract This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous studies, the methodology of this paper allows FIML estimation of the restricted VAR/VECM and therefore the extraction of the unobserved codependent cyclical components via a Beveridge‐Nelson decomposition. It is further shown that the number and order of cofeature combinations that yield the…