Acceso usuarios
Wen-Jen Tsay
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 is a fast and reliable approach to estimate the long-run effects as well as the short- and long-term dynamics of a structural VARFIMA process simultaneously. In particular, the computational cost of the CLDL algorithm is much lower than that proposed in and . We apply the CLDL method to the Congressional approval data of 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 . This paper also tests the divided party government hypothesis with the CLDL algorithm.
