State space modelling and spectral analysis of cointegrated vector processes (evidence from the U.S. and Scandinavian economies)

References

• AOKI , M. , 1976a , Control of large scale dynamic systems by aggregation. IEEE Transactions on Automatic Control , 13 , 246–253 ; 1976 b, Optimal Control and Systems Theory in Dynamic Economic Analysis (Amsterdam North—Holland), Chaps 1–5, pp. 12–116; 1987, State Space Modeling of Time Series (Heidelberg Springer—Verlag), pp. 105–149;1988 a, State space models for vector—valued time series with random walk components. Proceedings of the Eighth International Symposium of Forecasting, Amsterdam; 1988 b, Cointegration, error correction and aggregation in dynamic models. Oxford Bulletin of Economics and Statistics, 50, 89–95; 1989 a, A state space time series modeling method without individual detrending. Journal of Time Series Analysis, 1, 128–151;1989 b, Incorporating exogenous variables in state space models of time series. University of Los Angeles, U.S.A., Summer European Econometric Society Meeting, Munich; 1990, State Space Modeling of Time Series, second, revised and enlarged edition (Heidelberg Springer—Verlag), Chap. 9; 1991, Two complementary representations of multiple time series in state space innovation forms. Proceedings of the Seminar on Recent Advances in Time Series Analysis and Their Impact on Economic Forecasting, Madrid, Spain, 16–18 December .
   Google Scholar
• AOKI , M. , and HAVENNER , A. , 1991 , State space modeling of multiple time series. Econometric Reviews , 10 ( 1 ), 1 – 59 .
   Google Scholar
• ATHANS , M. , 1974 , The importance of Kalman filtering methods for econonic systems. Annals of Economic and Social Measurement , 3 ( 1 ), 49 – 64 .
   Google Scholar
• BORDIGNON , S. , and TRIVELLATO , U. , 1989 , The optimal use of provisional data in forecasting with dynamic models. Journal of Business and Economic Statistics , 7 ( 2 ), 275 – 286 .
   Web of Science ®Google Scholar
• CERCHI , M. , and HAVENNER , A. , 1988 , Co—integration and stock prices The random walk on Wall Street revisited. Journal of Economic Dynamics and Control , 12 (June/September) , 333 – 346 .
   Web of Science ®Google Scholar
• CHATFIELD , C. , 1987 , The Analysis of Time Series. An Introduction , third edition ( London , U.K. Chapman and Hall ), Chap. 7 , pp. 127 – 168 .
   Google Scholar
• COATES , D. S. , and DIGGLE , P. J. , 1986 , Tests for comparing two estimated spectral densities. Journal of Time Series Analysis , 7 , 7 – 20 .
   Google Scholar
• DIEBOLD , F. , 1989 , State space modeling of time series. A review essay. Journal of Economic Dynamics and Control , 13 , 597 – 612 .
   Google Scholar
• Di Ruscio , D. , and LJUNGQUIST , D. , 1992 , State space model realization from input—output time series. Research Paper, Norwegian Institute of Technology , Division of Engineering and Cybernetics , Trondheim .
   Google Scholar
• GRANGER , C. W. J. , 1969 , Investigating causal relations by economic models and cross—spectral methods. Econometrica , 37 , 424 – 438 .
   Web of Science ®Google Scholar
• HILLMER , S. C , and TIAO , G. C. , 1982 , An ARIMA—model based approach to seasonal adjustment. Journal of Amercan Statistics Association , 77 , 63 – 70 .
   Web of Science ®Google Scholar
• HÖGLUND , R. , and OSTERMARK , R. , 1991 , Modelling VARMAX—processes by extended sample autocorrelation and linear regression techniques. Proceedings of the Third Finnish—Soviet Symposium on Probability Theory and Mathematical Statistics, Turku, August 1991. Forthcoming in Theory of Proability and its Applications, TVP Science Publishers, Russia; 1993, Multiple input transfer function noise modelling in the time and frequency domain Empirical evidence from Monte Carlo simulations. Journal of Applied Statistics , 20 ( 1 ), 69 – 93 .
   Google Scholar
• JOHANSEN , S. , 1988 , Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control , 12 , 231 – 254 .
   Web of Science ®Google Scholar
• KOOPMANS , L. H. , 1974 , The Spectral Analysis of Time Series ( New York Academic Press ).
   Google Scholar
• MALKAMÄXI , M. , 1993 , Essays on conditional pricing of Finnish stocks. Dissertation, Bank of Finland .
   Google Scholar
• MALKAMÄKI , M. , MARTIKAINEN , T. , PERTTUNEN , J. , and PUTTONEN , V. , 1993 , On the causality and co—movements of Scandinavian stock market returns. Scandinavian Journal of Management , 9 ( 1 ), 67 – 76 .
   Google Scholar
• MARTIKAINEN , T. , and PUTTONEN , V. , 1992 , On the informational flow between financial markets international evidence from thin stock and stock index futures markets. Economic Letters , 38 ( 2 ), 213 – 216 .
   Web of Science ®Google Scholar
• MEHRA , R. , 1971 , On—line identification of linear dynamic systems with applications to Kalman filtering. IEEE Transactions on Automatic Control , 16 , 12 – 22 .
   Web of Science ®Google Scholar
• MITTNIK , S. , 1990 , Forecasting with balanced state space representations of multivariate distributed lag models. Journal of Forecasting , 9 , 207–218 .
   Google Scholar
• NG , C , and YOUNG , P. , 1990 , Recursive estimation and forecasting of non—stationary time series. Journal of Forecasting , 9 , 173 – 204 .
   Web of Science ®Google Scholar
• ÖSTERMARK , R. , 1991 a , The forecasting performance of Cartesian ARIMA search and a vector—valued state space model. Kybernetes, to be published; 1991 b, Vector forecasting and dynamic portfolio selection. Empirical efficiency of recursive multiperiod strategies. European Journal of Operational Research , 55 , 46 – 56 .
   Google Scholar
• OTTER . P. W. , 1985 , Dynamic Feature Space Modeling, Filtering and Self—tuning Control of Stochastic Systems ( Berlin Springer—Verlag ).
   Google Scholar
• OTTER , P. W. , VAN DAL , R. , 1987 , State space and distributed lag modeling of dynamic economic processes based on singular value decomposition. Annales D'Economie et de Statistique , 6/7 , 253 – 277 .
   Google Scholar
• OTTER , P. W. , VAN DAL , R. , 1989 , On state space approximation of multi—input multi—output systems with stochastic exogenous inputs. System—theoretic Methods in Economic Modeling II , edited by S. Mittnik ( Oxford , U.K. Pergamon ), pp. 16 – 27 .
   Google Scholar
• SASTRI , T. , 1985 , State space modeling approach to time series forecasting. Management Science , 31 ( 11 ), 1451 – 1470 .
   Web of Science ®Google Scholar
• SASTRI , T. , 1989 , Multipass seasonal adjustment filter. Management Science , 35 ( 1 ), 100 – 123 .
   Web of Science ®Google Scholar
• SHIMOSHNI , M. , 1971 , Fisher's test of significance in harmonic analysis. Geophysical Journal of the Royal Astronomical Society , 23 , 373 – 377 .
   Google Scholar