Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes

Posted: 2 Nov 2005

See all articles by Claudio Morana

Claudio Morana

Università di Milano Bicocca; Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES); Center for Economic Research on Pensions and Welfare Policies (CeRP); Rimini Center for Economic Analysis - Europe ETS; Rimini Center for Economic Analysis - HQ

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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

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

Claudio Morana (Contact Author)

Università di Milano Bicocca ( email )

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