Frequency domain principal components estimation of fractionally cointegrated processes
This 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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Volume (Year): 11 (2004)
Issue (Month): 13 ()
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- repec:cep:stiecm:/2001/423 is not listed on IDEAS
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