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Unit roots and cointegrating matrix estimation using subspace methods

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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 12, 2005, ]

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Official URL: http://eprints.ucm.es/7907/


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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
Uncontrolled Keywords:State-space models, Subspace methods, Unit roots, Cointegration
Subjects:Social sciences > Economics > Econometrics
JEL:C15, C32, C51, C87
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2005
Number:12
ID Code:7907
Deposited On:20 May 2008
Last Modified:04 Dec 2017 09:00

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