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Frequency domain principal components estimation of fractionally cointegrated processes.

Authors :
Morana, Claudio
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