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http://hdl.handle.net/10016/744
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| Title: | Estimation of common long-memory components in cointegrated systems |
| Author(s): | Gonzalo, Jesús [jgonzalo]
Granger, C.W.J. (Clive William John) |
| Publisher: | American Statistical Association |
| Issued date: | Jan-1995 |
| Citation: | Journal of Business & Economic Statistics, January 1995, vol. 13, nº 1, p. 27-35 |
| URI: | http://hdl.handle.net/10016/744 |
| ISSN: | 0735-0015 |
| Abstract: | The 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. |
| Review: | PeerReviewed |
| Publisher version: | http://proquest.umi.com/pqdlink?did=4701538&sid=1&Fmt=2&clientId=36295&RQT=309&VName=PQD |
| Keywords: | Common factors
Cointegration
Error-correction model
Permanent-transitory decomposition |
| Appears in Collections: | DE - Artículos de Revistas
Economists Online
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