In the past decade, researchers have made substantial improvements to survey questions that allow them to obtain more accurate information from survey respondents about income and wealth. However, changing survey questions - even for the better - can create problems. For example, if we ask a...

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...