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. © 2004 Taylor and Francis Ltd.
Morana, C. (2004). Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes. APPLIED ECONOMICS LETTERS, 11(13), 837-842 [10.1080/1350485042000261298].
Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes
MORANA, CLAUDIO
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. © 2004 Taylor and Francis Ltd.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
