Author/Authors :
firuzan, esin university of dokuz eylul - faculty of science, turkey , susam, selim orhun university of dokuz eylul - faculty of science, turkey
Title Of Article :
PARAMETERS PROPERTIES OF BIVARIATE COINTEGRATED VAR (1) PROCESS
Abstract :
Vector autoregressive (VAR) process is common tool for capturing the autocorrelation pattern among VAR models which are generalized form of the univariate autoregression (AR) models. In our study, bivariate cointegrated VAR (1) is considered. Monte Carlo simulation study is performed to examine the finite sample performance of estimators corresponding to the asymptotic distribution for different p and α in MATLAB R2011A software package.
NaturalLanguageKeyword :
Cointegration , Vector autoregressive process , Maximum likelihood estimator , Least square estimator
JournalTitle :
Anadolu University Journal of Science and Technology. A : Applied Sciences and Engineering
