Search Results - subject:"spectral density matrix"

The estimation and testing of the cointegration order based on the frequency domain

Souza, Igor Viveiros Melo; Reisen, Valdério Anselmo; … - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 4, pp. 695-704

Persistent link: https://www.econbiz.de/10012249234

Estimating the rank of the spectral density matrix

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

The rank of the spectral density matrix conveys relevant information in a variety of statistical modelling scenarios …. This note shows how to estimate the rank of the spectral density matrix at any given frequency. The method presented is …

Persistent link: https://www.econbiz.de/10011604395

Estimating the rank of the spectral density matrix

Camba-Méndez, Gonzalo; Kapetanios, George - European Central Bank - 2004

Persistent link: https://www.econbiz.de/10005530713

Control variate method for stationary processes

Amano, Tomoyuki; Taniguchi, Masanobu - In: Journal of Econometrics 165 (2011) 1, pp. 20-29

The sample mean is one of the most natural estimators of the population mean based on independent identically distributed sample. However, if some control variate is available, it is known that the control variate method reduces the variance of the sample mean. The control variate method often...

Persistent link: https://www.econbiz.de/10011052330

Testing for Cointegration Using Principal Component Measures

Phillips, Peter C.B.; Ouliaris, Sam - Cowles Foundation for Research in Economics, Yale University - 1986

This paper studies cointegrated systems of multiple time series which are individually well described as integrated processes (with or without a drift). Necessary and sufficient conditions for cointegration are given. These conditions form the basis for a new class of statistical procedures...

Persistent link: https://www.econbiz.de/10005593644

Spectral Analysis for Bivariate Time Series with Long Memory - (Now published in 'Econometric Theory',12 (1997)pp.773-792.)

Hidalgo, Javier - Suntory and Toyota International Centres for Economics … - 1996

variance stationary process whose spectral density matrix has singularities not only at the origin but possibly at some other … normality of the spectral density matrix estimator at a frequency, say ? which hold for weakly dependent time series, continue … show that for the standard properties of spectral density matrix estimators to hold, only local smoothness of the spectral …

Persistent link: https://www.econbiz.de/10010720250