Fractionally integrated curve time series with cointegration
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2022
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| _version_ | 1866917770912858112 |
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| author | Seo, Won-Ki Shang, Han Lin |
| author_facet | Seo, Won-Ki Shang, Han Lin |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2212_04071 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Fractionally integrated curve time series with cointegration Seo, Won-Ki Shang, Han Lin Statistics Theory 37M10, 62F03 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. |
| title | Fractionally integrated curve time series with cointegration |
| topic | Statistics Theory 37M10, 62F03 |
| url | https://arxiv.org/abs/2212.04071 |