Showing 1 - 10 of 12,394
Persistent link: https://www.econbiz.de/10003410755
Persistent link: https://www.econbiz.de/10011338122
Persistent link: https://www.econbiz.de/10012800815
Persistent link: https://www.econbiz.de/10012592794
Persistent link: https://www.econbiz.de/10012391048
Persistent link: https://www.econbiz.de/10011634324
Persistent link: https://www.econbiz.de/10014311197
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