Frequency domain principal components estimation of fractionally cointegrated processes

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally differenced (fractionally) cointegrated processes the squared multiple coherence at the zero frequency is equal to one, the spectral density matrix at the zero frequency is singular, and the factor loading and cointegrating matrices can be obtained from the eigenvectors of the spectral matrix at the zero frequency, associated with the positive and zero roots, respectively. A Monte Carlo simulation reveals that the proposed principal components estimator has already good properties with relatively small sample sizes.

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Year of publication:	2004-03-01
Authors:	Morana, Claudio
Publisher:	European Central Bank
Subject:	Monte-Carlo-Methode \| Monte Carlo method \| Schätztheorie \| Estimation theory \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis

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Extent:	1271808 bytes 63 p. application/pdf
Series:	Working paper series / European Central Bank ; 321
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models ; Statistical Methods and Econometrics. General Resources ; Individual Working Papers, Preprints
Source:	ArchiDok