Estimation and Testing for High-dimensional Near Unit Root Time Series
We investigate some estimation and testing issues for a class of high-dimensional near unit root time series models. We first study the asymptotic behavior of the first k largest eigenvalues of the sample covariance matrices of the time series model. Then we propose a new estimator for the high–dimensional near unit root setting through using the largest eigenvalues of the sample covariance matrices and use it to test for near unit roots. Such an approach is theoretically novel and addresses some important estimation and testing issues in the high–dimensional near unit root setting. Simulations are also conducted to demonstrate the finite–sample performance of the proposed test statistic
Year of publication: |
2020
|
---|---|
Authors: | Zhang, Bo |
Other Persons: | Gao, Jiti (contributor) ; Pan, Guangming (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
Saved in:
freely available
Extent: | 1 Online-Ressource (40 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 18, 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3579168 [DOI] |
Classification: | C21 - Cross-Sectional Models; Spatial Models ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012836601
Saved in favorites
Similar items by subject
-
Exponent of cross-sectional dependence for residuals
Bailey, Natalia, (2018)
-
Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia, (2012)
-
Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia, (2012)
- More ...
Similar items by person