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Unit Roots and Cointegrating Matrix Estimation using Subspace Methods

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Author Info

  • Alfredo Garcia Hiernaux

    (Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II)

  • Miguel Jerez

    ()
    (Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II)

  • José Casals

    (Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II)

Abstract

We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, which loss functions can be adapted to the statistical properties of the data. Last, it does not require the specification of a stochastic process for the series analyzed. Also, we provide a consistent estimator of the cointegrating rank and the cointegrating matrix. Simulation exercises show that the procedure has good finite sample properties. An example illustrates its application to real time series.

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Bibliographic Info

Paper provided by Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales in its series Documentos del Instituto Complutense de Análisis Económico with number 0512.

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Length: 36 pages
Date of creation: 2005
Date of revision:
Handle: RePEc:ucm:doicae:0512

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Keywords: State-space models; subspace methods; unit roots; cointegration.;

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