RT Journal Article
T1 Estimation of common long-memory components in cointegrated systems
A1 Gonzalo, Jesús
A1 Granger, C.W.J. (Clive William John)
AB 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.
PB American Statistical Association
SN 0735-0015
YR 1995
FD 1995-01
LK https://hdl.handle.net/10016/744
UL https://hdl.handle.net/10016/744
LA eng
LA eng
DS e-Archivo
RD 31 may. 2024