ItemBook Chapter

Bivariate Cointegrated Model with Gamma Innovations

Title
Bivariate Cointegrated Model with Gamma Innovations
Creator
Jayaram, Amritha; John, Nimitha
Description
The nature of time-bound data is its non-stationarity, that is, the constant presence of factors such as trend, seasonality, or both. Adopting mechanisms such as the method of differencing or ordinary least squares results in a loss of information or overestimation or underestimation of the parameters, respectively. A cointegration study reflects the notion of a long-run equilibrium, which is a concept of sensitivity in macroecometrics. Thus, cointegration can be defined as the onset of a longterm equilibrium between two or more time series that evolve under the influence of time, with the potential advantage of establishing a dynamic relationship using standard methods. Thus, this study explores the theoretical approach of estimating an error correction model for a cointegrated bivariate VAR (2) model with gamma innovation. To obtain the parameter estimates of the proposed model, we employ the conditional maximum likelihood estimation, implemented through the NewtonRaphson algorithm, because of the gamma distributions non-closed form nature. A theoretical study is strengthened by artificial simulations that support mathematical derivations. 2025 Scrivener Publishing LLC.
Source
Mathematics and Computer Science for Real-World Applications;pp.145-162
Date
01-01-2025
Publisher
wiley
Subject
Bivariate co-integration; Error correction model; Gamma innovation; Time series; Vector autoregressive model
Coverage
Jayaram A., Department of Statistics and Data Science, Christ (Deemed to be University), Karnataka, Bangalore, India; John N., Department of Statistics and Data Science, Christ (Deemed to be University), Karnataka, Bangalore, India
Rights
Restricted Access; Hardcopy may be available in the library
Relation
ISBN: 978-139427535-9; 978-139427532-8;
Format
online
Language
English
Type
Book chapter

Citation

Jayaram, Amritha; John, Nimitha, “Bivariate Cointegrated Model with Gamma Innovations,” CHRIST (Deemed To Be University) Institutional Repository, accessed June 18, 2026, https://archives.christuniversity.in/items/show/23918.

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