Showing 1 - 10 of 12,618
Persistent link: https://www.econbiz.de/10010529429
Persistent link: https://www.econbiz.de/10012170845
Persistent link: https://www.econbiz.de/10001984262
Persistent link: https://www.econbiz.de/10001723036
Persistent link: https://www.econbiz.de/10003325480
Persistent link: https://www.econbiz.de/10003327829
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/10000539342
Persistent link: https://www.econbiz.de/10000541207
Persistent link: https://www.econbiz.de/10000543880