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oai:docta.ucm.es:20.500.14352/566332025-05-19T16:35:49Zcom_20.500.14352_14col_20.500.14352_17

Unit roots and cointegrating matrix estimation using subspace methods García Hiernaux, Alfredo Alejandro Jerez Méndez, Miguel Casals Carro, José C15 C32 C51 C87 State-space models Subspace methods Unit roots Cointegration Econometría (Economía) 5302 Econometría 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. Fac. de Ciencias Económicas y Empresariales Instituto Complutense de Análisis Económico (ICAE) FALSE pub 2023-06-20T16:39:32Z 2023-06-20T16:39:32Z 2005 technical report https://hdl.handle.net/20.500.14352/56633 XXXX-XXXX eng Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE) open access application/pdf Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid