Hiernaux, Alfredo G. and Jerez Méndez, Miguel and 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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Official URL: http://eprints.ucm.es/7907/
Abstract
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.
Item Type:  Working Paper or Technical Report 

Additional Information:  C15C32C51C87 
Uncontrolled Keywords:  Statespace models, Subspace methods, Unit roots, Cointegration 
Subjects:  Social sciences > Economics > Econometrics 
Series Name:  Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) 
Volume:  2005 
Number:  0512 
ID Code:  7907 
References: 
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Deposited On:  20 May 2008 
Last Modified:  06 Feb 2014 07:56 
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