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Frequency domain principal components estimation of fractionally cointegrated processes.
- Source :
- Applied Economics Letters; 10/20/2004, Vol. 11 Issue 13, p837-842, 6p
- Publication Year :
- 2004
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 13504851
- Volume :
- 11
- Issue :
- 13
- Database :
- Complementary Index
- Journal :
- Applied Economics Letters
- Publication Type :
- Academic Journal
- Accession number :
- 14815853
- Full Text :
- https://doi.org/10.1080/1350485042000261298