An Alternative Solution to the Autoregressivity Paradox in Time Series Analysis
9 Pages Posted: 31 Jan 2011
Date Written: January 31, 2011
Abstract
This note concerns with the marginal models associated with a given vector autoregressive model. In particular, it is shown that a reduction in the orders of the univariate ARMA marginal models can be determined by the presence of variables integrated with different orders. The concepts and methods of the paper are illustrated via an empirical investigation of the low-frequency properties of hours worked in the US.
Keywords: VAR Models, ARIMA Models, Final Equations
JEL Classification: C32
Suggested Citation: Suggested Citation
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