The ability to model, forecast, and analyze the behaviors of otheragents has applications in many diverse contexts. For example, behavioral models can be used in multi-player games to forecast an opponent's next move, in economics to forecast a merger decision by a CEO, or in international...

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...