Showing 1 - 10 of 12,656
Persistent link: https://www.econbiz.de/10011916944
Persistent link: https://www.econbiz.de/10001244066
Persistent link: https://www.econbiz.de/10011529683
Persistent link: https://www.econbiz.de/10001483067
Persistent link: https://www.econbiz.de/10003274499
Persistent link: https://www.econbiz.de/10003385726
Persistent link: https://www.econbiz.de/10001704534
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