Frequency domain principal components estimation of fractionally cointegrated processes

References

References

• Anderson , TW . 1963 . Asymptotic Theory for principal components analysis . Annals of Mathematical Statistics , 34 : 122 – 48 .
   Google Scholar
• Anderson TW 1984 An Introduction to Multivariate Statistical Analysis, John Wiley & Sons Chichester
   Google Scholar
• Brillinger DR 1981 Time Series, Holden Day San Francisco
   Google Scholar
• Engle , RF and Granger , CWJ . 1987 . Co-integration and error correction: representation estimation and testing . Econometrica , 55 ( 2 ) : 251 – 76 .
   Web of Science ®Google Scholar
• Kasa , K . 1992 . Common stochastic trends in international stock markets . Journal of Monetary Economics , 29 : 95 – 124 .
   Web of Science ®Google Scholar
• King , RG , Plosser , CI , Stock , JH and Watson , MW . 1991 . Stochastic trends and economic fluctuations . The American Economic Review , 81 ( 4 ) : 819 – 40 .
   Web of Science ®Google Scholar
• Morana C 2004a A structural common factor approach to core inflation estimation and forecasting European Central Bank Working Paper Series, no. 305
   Google Scholar
• Morana C 2004b Frequency domain principal components estimation of fractionally cointegrated long memory processes European Central Bank Working Paper Series, no. 321
   Google Scholar
• Philips , PCB . 1986 . Understanding spurious regressions in econometrics . Journal of Econometrics , 33 : 311 – 40 .
   Web of Science ®Google Scholar
• Philips , PCB and Ouliaris , S . 1988 . Testing for cointegration using principal components methods . Journal of Economics Dynamics and Control , 12 : 205 – 30 .
   Web of Science ®Google Scholar
• Robinson , PM . 1995 . Gaussian semiparametric estimation of long range dependence . The Annals of Statistics , 23 : 1630 – 61 .
   Web of Science ®Google Scholar
• Robinson PM Marinucci D 1998 Semiparametric frequency domain analysis of fractional cointegration STICERD Working Paper, no. EM/98/348
   Google Scholar
• Robinson , PM and Yajima , Y . 2002 . Determination of cointegrating rank in fractional systems . Journal of Econometrics , 106 ( 2 ) : 217 – 41 .
   Web of Science ®Google Scholar
• Warne A 1993 A common trends model: identification, estimation and inference Seminar Paper No. 555 IIES, Stockholm University
   Google Scholar