Multivariate Time Series With Various Hidden Unit Roots, Part Ii
AbstractThis paper extends the statistical results obtained by Gregoir and Laroque (1994, Journal of Econometrics 63, 183 214). It develops statistical tools to analyze multivariate time series that can be represented under an autoregressive equation of finite order with various polynomial error correction terms at various frequencies with possibly a non-null deterministic part as introduced by Gregoir (1999, Econometric Theory 15, 435 468). We propose an estimation procedure that proceeds through repeated applications of principal component analysis and a specification test for the omission of a polynomial relation of cointegration at each frequency.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 15 (1999)
Issue (Month): 04 (August)
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Other versions of this item:
- Gregoir, St phane, 1999. "Multivariate Time Series With Various Hidden Unit Roots, Part I," Econometric Theory, Cambridge University Press, vol. 15(04), pages 435-468, August.
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