Year: 2024
Type: article
Abstract: We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local Whittle estimator to estimate the long-memory parameter and establish its consistency. A Monte Carlo study of finite-sample performance is included, along with two empirical applications.
Source: Electronic Journal of Statistics
DOI: 10.1214/24-ejs2290
Authors: Won-Ki Seo, Han Lin Shang
Institutions: The University of Sydney, Macquarie University
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $675
OpenAlex ID: W4403305496