RT Report
T1 Unit roots and cointegrating matrix estimation using subspace methods
A1 Hiernaux, Alfredo G.
A1 Jerez Méndez, Miguel
A1 Casals Carro, José
AB 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.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2005
FD 2005
LK https://hdl.handle.net/20.500.14352/56633
UL https://hdl.handle.net/20.500.14352/56633
LA eng
DS Docta Complutense
RD 12 abr 2025