Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations Athanasopoulos, George, Poskitt, Donald S., Vahid, Farshid and Yao, Wenying 2015, Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations, Journal of applied econometrics, vol. 31, no. 6, pp. 1100-1119, doi: 10.1002/jae.2484. Attached Files Name Description MIMEType Size Downloads Title Determination of long-run and short-run dynamics in EC-VARMA models via canonical correlations Author(s) Athanasopoulos, George Poskitt, Donald S. Vahid, Farshid Yao, Wenying orcid.org/0000-0001-6368-0160 Journal name Journal of applied econometrics Volume number 31 Issue number 6 Start page 1100 End page 1119 Total pages 20 Publisher John Wiley & Sons Place of publication Chichester, Eng. Publication date 2015 ISSN 0883-7252 1099-1255 Summary This article studies a simple, coherent approach for identifying and estimating error-correcting vector autoregressive moving average (EC-VARMA) models. Canonical correlation analysis is implemented for both determining the cointegrating rank, using a strongly consistent method, and identifying the short-run VARMA dynamics, using the scalar component methodology. Finite-sample performance is evaluated via Monte Carlo simulations and the approach is applied to modelling and forecasting US interest rates. The results reveal that EC-VARMA models generate significantly more accurate out-of-sample forecasts than vector error correction models (VECMs), especially for short horizons. Language eng DOI 10.1002/jae.2484 Field of Research 140305 Time-Series Analysis 140302 Econometric and Statistical Methods 1402 Applied Economics 1403 Econometrics Socio Economic Objective 910199 Macroeconomics not elsewhere classified HERDC Research category C1.1 Refereed article in a scholarly journal ERA Research output type C Journal article Copyright notice ©2015, John Wiley & Sons Persistent URL http://hdl.handle.net/10536/DRO/DU:30085227 Document type: Journal Article Collection: Department of Economics Related Links Link Description Connect to published version Go to link with your DU access privileges   Connect to Elements publication management system Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Wed, 03 Aug 2016, 16:05:08 EST Thu, 04 Aug 2016, 05:02:32 EST Fri, 05 Aug 2016, 06:13:57 EST Thu, 29 Sep 2016, 16:50:36 EST Thu, 29 Sep 2016, 16:54:39 EST Tue, 04 Oct 2016, 15:46:49 EST Tue, 04 Oct 2016, 15:49:25 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 51 Abstract Views, 1 File Downloads  -  Detailed Statistics Created: Wed, 03 Aug 2016, 16:05:08 EST

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