Spectral Analysis of Fractionally Cointegrated Systems

Fractional cointegration imposes restrictions on the zero-frequency behavior of a time series. In a multivariate time series, integrated of order d epsilon (1/2, 3/2) and cointegrating to order d - b epsilon (-1/2, 1/2), we derive these restrictions in terms of the (reduced) rank of the spectral density matrix of the d'th differenced series and in terms of gain, coherence, and phase measures

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Year of publication:	2004
Authors:	Nielsen, Morten Ørregaard
Publisher:	[S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Kointegration \| Cointegration
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 83, pp. 225-231, 2004 Volltext nicht verfügbar
Classification:	C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014071207