Codependence in cointegrated autoregressive models
研究共依赖周期，即对共同刺激反应相似但未必同步的暂时成分，提出基于FIML估计的VAR/VECM方法，并通过Beveridge-Nelson分解提取未观测的共依赖周期成分，蒙特卡洛模拟显示该方法比GMM和典型相关检验更有效，实证分析了英国消费数据。
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 scalar component models associated with codependence is limited by the dimension of a finite‐order VAR system. Monte Carlo simulations indicate that LR tests based on FIML estimates have higher power than alternative GMM and canonical correlations tests, while maintaining good size properties. An empirical application investigates the presence of codependence in UK consumption data. Copyright © 2007 John Wiley & Sons, Ltd.