Unit roots and cointegrating matrix estimation using subspace methods
| dc.contributor.author | Hiernaux, Alfredo G. | |
| dc.contributor.author | Jerez Méndez, Miguel | |
| dc.contributor.author | Casals Carro, José | |
| dc.date.accessioned | 2023-06-20T16:39:32Z | |
| dc.date.available | 2023-06-20T16:39:32Z | |
| dc.date.issued | 2005 | |
| dc.description.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. | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | FALSE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/7907 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/56633 | |
| dc.issue.number | 12 | |
| dc.language.iso | eng | |
| dc.page.total | 36 | |
| dc.publication.place | Madrid | |
| dc.publisher | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | |
| dc.relation.ispartofseries | Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights.accessRights | open access | |
| dc.subject.jel | C15 | |
| dc.subject.jel | C32 | |
| dc.subject.jel | C51 | |
| dc.subject.jel | C87 | |
| dc.subject.keyword | State-space models | |
| dc.subject.keyword | Subspace methods | |
| dc.subject.keyword | Unit roots | |
| dc.subject.keyword | Cointegration | |
| dc.subject.ucm | Econometría (Economía) | |
| dc.subject.unesco | 5302 Econometría | |
| dc.title | Unit roots and cointegrating matrix estimation using subspace methods | |
| dc.type | technical report | |
| dc.volume.number | 2005 | |
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| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | fdb804b2-ac97-4a0a-bd74-9414c4b86042 | |
| relation.isAuthorOfPublication.latestForDiscovery | fdb804b2-ac97-4a0a-bd74-9414c4b86042 |
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