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    题名: Maximum Likelihood Estimation of Structural VARFIMA Models
    作者: Tsay, Wen-Jen
    蔡文禎
    贡献者: 財政系
    关键词: Fractional cointegration;Structural VARFIMA;Durbin–Levinson algorithm
    日期: 2012.12
    上传时间: 2014-04-17 16:25:36 (UTC+8)
    摘要: This paper considers the maximum likelihood estimation of a class of structural vector autoregressive fractionally integrated moving-average (VARFIMA) models. The structural VARFIMA model includes the fractional cointegration model as one of its special cases. We show that the conditional likelihood Durbin–Levinson (CLDL) algorithm of Tsay (2010a) is a fast and reliable approach to estimate the long-run effects as well as the short- and longterm dynamics of a structural VARFIMA process simultaneously. In particular, the computational cost of the CLDL algorithm is much lower than that proposed in Sowell (1989) and Dueker and Startz (1998). We apply the CLDL method to the Congressional approval data of Durr et al. (1997) and find that the long-run effect of economic expectations on Congressional approval is at least 0.5718, which is over twice the estimate of 0.24 found in Table 2 of Box-Steffensmeier and Tomlinson (2000). This paper also tests the divided party government hypothesis with the CLDL algorithm.
    關聯: Electoral Studie, 31(4), 852-860
    資料來源: http://dx.doi.org/10.1016/j.electstud.2012.06.007
    数据类型: article
    显示于类别:[財政學系] 期刊論文

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