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.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.