Nonparametric frequency domain analysis of nonstationary multivariate time series
AbstractWe analyse the properties of nonparametric spectral estimates when applied to long memory and trending nonstationary multiple time series. We show that they estimate consistently a generalized or pseudo-spectral density matrix at frequencies both close and away from the origin and we obtain the asymptotic distribution of the estimates. Using adequate data tapers this technique is consistent for observations with any degree of nonstationarity, including polynomial trends. We propose an estimate of the degree of fractional cointegration for possibly nonstationary series based on coherence estimates around zero frequency and analyse its finite sample properties in comparison with residual-based inference. We apply this new semiparametric estimate to an example vector time series.
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/4357.
Length: 249 p.
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Long memory; Long-range dependence; Fractional cointegration; Coherence; Semiparametric estimation; Spectral density;
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- Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006.
"Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach,"
1029, Queen's University, Department of Economics.
- Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
- Abadir, Karim M. & Distaso, Walter & Giraitis, Liudas, 2011.
"An I(d) model with trend and cycles,"
Journal of Econometrics,
Elsevier, vol. 163(2), pages 186-199, August.
- Nielsen, Morten Orregaard, 2004.
"Spectral analysis of fractionally cointegrated systems,"
Elsevier, vol. 83(2), pages 225-231, May.
- Nielsen, Morten Oe., . "Spectral Analysis of Fractionally Cointegrated Systems," Economics Working Papers 2002-12, School of Economics and Management, University of Aarhus.
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