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政大機構典藏 > 社會科學學院 > 財政學系 > 期刊論文 > Item 140.119/65467

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/65467

Title:	Maximum Likelihood Estimation of Structural VARFIMA Models
Authors:	Tsay, Wen-Jen 蔡文禎
Contributors:	財政系
Keywords:	Fractional cointegration;Structural VARFIMA;Durbin–Levinson algorithm
Date:	2012.12
Issue Date:	2014-04-17 16:25:36 (UTC+8)
Abstract:	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.
Relation:	Electoral Studie, 31(4), 852-860
Source URI:	http://dx.doi.org/10.1016/j.electstud.2012.06.007
Data Type:	article
Appears in Collections:	[財政學系] 期刊論文

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