Frequency domain principal components estimation of fractionally cointegrated processes

Claudio Morana

Applied Economics Letters, 2004, vol. 11, issue 13, 837-842

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.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:11:y:2004:i:13:p:837-842

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DOI: 10.1080/1350485042000261298

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