Frequency domain principal components estimation of fractionally cointegrated processes

Author: Claudio Morana

Source: Applied Economics Letters, Volume 11, Number 13, October 20, 2004 , pp. 837-842(6)

Publisher: Routledge, part of the Taylor & Francis Group

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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.

Document Type: Research article

DOI: 10.1080/1350485042000261298

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