Multivariate modelling of long memory processes with common components

Claudio Morana

ICER Working Papers from ICER - International Centre for Economic Research

Abstract: In the paper a new approach to the modelling of common components in long memory processes is introduced. The approach is based on a two-step procedure relying on Fourier transform methods (firrst step) and principal components analysis (second step), which, differently from previous contributions to the literature, allows the modelling of large data sets, both in terms of temporal and cross-sectional dimensions. Monte Carlo evidence, supporting the two-step stimation procedure, is also provided, as well as an empirical application to real data.

Keywords: long memory; common long memory factor model; permanent-persistent-non persistent decomposition; permanent-transitory decomposition. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2006-07
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Citations: View citations in EconPapers (2)

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Journal Article: Multivariate modelling of long memory processes with common components (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpicer:40-2006

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