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Unit roots and cointegrating matrix estimation using subspace methods


Hiernaux, Alfredo G. y Jerez Méndez, Miguel y Casals Carro, José (2005) Unit roots and cointegrating matrix estimation using subspace methods. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0512, 2005, ]

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We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, which loss functions can be adapted to the statistical properties of the data. Last, it does not require the specification of a stochastic process for the series analyzed. Also, we provide a consistent estimator of the cointegrating rank and the cointegrating matrix. Simulation exercises show that the procedure has good finite sample properties. An example illustrates its application to real time series.

Tipo de documento:Documento de trabajo o Informe técnico
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Palabras clave:State-space models, Subspace methods, Unit roots, Cointegration
Materias:Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:7907

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Última Modificación:06 Feb 2014 07:56

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