Cointegration in functional autoregressive processes

DOI10.1017/S0266466619000306MaRDI QIDQ5859555zbMATH OpenFDO

Authors Massimo Franchi, Paolo Paruolo

Publication date 16 April 2021

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1712.07522

zbMATH Keywords

functional autoregressive process

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10)

Abstract: This paper defines the class of $mathcalH$-valued autoregressive (AR) processes with a unit root of finite type, where $mathcalH$ is an infinite dimensional separable Hilbert space, and derives a generalization of the Granger-Johansen Representation Theorem valid for any integration order $d=1,2,dots$. An existence theorem shows that the solution of an AR with a unit root of finite type is necessarily integrated of some finite integer $d$ and displays a common trends representation with a finite number of common stochastic trends of the type of (cumulated) bilateral random walks and an infinite dimensional cointegrating space. A characterization theorem clarifies the connections between the structure of the AR operators and $(i)$ the order of integration, $(ii)$ the structure of the attractor space and the cointegrating space, $(iii)$ the expression of the cointegrating relations, and $(iv)$ the Triangular representation of the process. Except for the fact that the number of cointegrating relations that are integrated of order 0 is infinite, the representation of $mathcalH$-valued ARs with a unit root of finite type coincides with that of usual finite dimensional VARs, which corresponds to the special case $mathcalH=mathbb{R}^p$.

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Cited in

(20)

• Cointegration in singular ARMA models
• Cointegrated linear processes in Bayes Hilbert space
• Resolvent and logarithmic residues of a singular operator pencil in Hilbert spaces
• Functional-coefficient cointegration models
• Nonstationary fractionally integrated functional time series
• Functional coefficient moving average model with applications to forecasting Chinese CPI
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• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• Cointegrated Linear Processes in Hilbert Space
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