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Estimation of common long-memory components in cointegrated systems

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorGonzalo, Jesús
dc.contributor.authorGranger, C.W.J. (Clive William John)
dc.date.accessioned2008-10-16T12:11:41Z
dc.date.available2008-10-16T12:11:41Z
dc.date.issued1995-01
dc.description.abstractThe analysis of cointegration in large systems requires a reduction of their dimensionality. To achieve this, an analysis proposes to obtain the integrated of order one - I(1) - factors in every subsystem and then analyze cointegration among them. A new way of estimating common long-memory components of a cointegrated system is proposed. The identification of these I(1) common factors is achieved by imposing that they be linear combinations of the original variables and that the error-correction terms do not cause the common factors at low frequencies. Estimation is done from a fully specified error-correction model, which makes it possible to test hypotheses on the common factors using standard chi-squared tests. Several empirical examples are presented to illustrate the procedure.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.format.mimetypetext/plain
dc.identifier.bibliographicCitationJournal of Business & Economic Statistics, January 1995, vol. 13, nº 1, p. 27-35
dc.identifier.issn0735-0015
dc.identifier.urihttps://hdl.handle.net/10016/744
dc.language.isoeng
dc.language.isoeng
dc.publisherAmerican Statistical Association
dc.relation.publisherversionhttp://proquest.umi.com/pqdlink?did=4701538&sid=1&Fmt=2&clientId=36295&RQT=309&VName=PQD
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.subject.otherCommon factors
dc.subject.otherCointegration
dc.subject.otherError-correction model
dc.subject.otherPermanent-transitory decomposition
dc.titleEstimation of common long-memory components in cointegrated systems
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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