Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Journal of Time Series Econometrics

Editor-in-Chief: Hidalgo, Javier

2 Issues per year

CiteScore 2017: 0.25

SCImago Journal Rank (SJR) 2017: 0.236
Source Normalized Impact per Paper (SNIP) 2017: 0.682

See all formats and pricing
More options …

Detecting Common Dynamics in Transitory Components

Timothy Christensen / Stan Hurn / Adrian Pagan
Published Online: 2011-02-03 | DOI: https://doi.org/10.2202/1941-1928.1088

This paper considers VECMs for variables exhibiting cointegration and common features in the transitory components. While the presence of cointegration between the permanent components of series reduces the rank of the long-run multiplier matrix, a common feature among the transitory components leads to a rank reduction in the matrix summarizing short-run dynamics. The common feature also implies that there exists linear combinations of the first-differenced variables in a cointegrated VAR that are white noise and traditional tests focus on testing for this characteristic. An alternative, however, is to test the rank of the short-run dynamics matrix directly. Consequently, we use the literature on testing the rank of a matrix to produce some alternative test statistics. We also show that these are identical to one of the traditional tests. The performance of the different methods is illustrated in a Monte Carlo analysis which is then used to re-examine an existing empirical study. Finally, this approach is applied to provide a check for the presence of common dynamics in DSGE models.

Keywords: transitory components; common features; reduced rank; cointegration

About the article

Published Online: 2011-02-03

Citation Information: Journal of Time Series Econometrics, Volume 3, Issue 1, ISSN (Online) 1941-1928, DOI: https://doi.org/10.2202/1941-1928.1088.

Export Citation

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston.Get Permission

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

Xianglong Liu, Adrian R. Pagan, and Tim Robinson
Economic Record, 2018

Comments (0)

Please log in or register to comment.
Log in