TY - DATA T1 - simple-identification-and-specification-of-cointegrated-varma-models AU - Kascha, Christian AU - Trenkler, Carsten DO - doi:10.15456/jae.2022321.0721474586 AB - We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the cointegrated case. We show that in this case with fixed initial values there exists a so-called final moving-average representation. We prove that the specification strategy is consistent. The performance of the proposed method is investigated via a Monte Carlo study and a forecasting exercise for US interest rates. We find that our method performs well relative to alternative approaches for cointegrated series and methods which do not allow for moving-average terms. ET - 1 PY - 2015 PB - ZBW - Leibniz Informationszentrum Wirtschaft UR - https://journaldata.zbw.eu/dataset/simple-identification-and-specification-of-cointegrated-varma-models ER -