Fractionally integrated curve time series with cointegration
Statistics Theory
2024-09-10 v3 Statistics Theory
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.
Cite
@article{arxiv.2212.04071,
title = {Fractionally integrated curve time series with cointegration},
author = {Won-Ki Seo and Han Lin Shang},
journal= {arXiv preprint arXiv:2212.04071},
year = {2024}
}