Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes
Posted: 2 Nov 2005
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Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes
Number of pages: 63
Posted: 13 May 2004
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Abstract
In this paper we introduce 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.
Keywords: Fractional cointegration, long memory, frequency domain analysis
JEL Classification: C22
Suggested Citation: Suggested Citation
Morana, Claudio, Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes. Applied Economics Letters, Vol. 11, pp. 837-42, 2004, Available at SSRN: https://ssrn.com/abstract=828047
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