Showing 1 - 10 of 12,354
Persistent link: https://www.econbiz.de/10003328379
Persistent link: https://www.econbiz.de/10010517769
Persistent link: https://www.econbiz.de/10003991414
Persistent link: https://www.econbiz.de/10009621882
Persistent link: https://www.econbiz.de/10008937581
Persistent link: https://www.econbiz.de/10000001796
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...
Persistent link: https://www.econbiz.de/10009636544
Persistent link: https://www.econbiz.de/10000882121
Persistent link: https://www.econbiz.de/10000882159
Persistent link: https://www.econbiz.de/10000883045