Frequency domain principal components estimation of fractionally cointegrated processes
AbstractThis study introduces a new frequency domain principal components estimator of the cointegration space and the loading matrix for the common factors for fractionally cointegrated long memory processes. A Monte Carlo simulation exercise reveals that the proposed estimator has already good properties with relatively small sample sizes.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 11 (2004)
Issue (Month): 13 ()
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Other versions of this item:
- Morana, Claudio, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Working Paper Series 0321, European Central Bank.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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