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• W2016087196 abstract "The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1) common factors in every subsystem and then analyze cointegration among them. In this article, a new way of estimating common long-memory components of a cointegrated system is proposed. The identification of these I(1) common factors is achieved by imposing that they be linear combinations of the original variables Xt , and that the error-correction terms do not cause the common factors at low frequencies. Estimation is done from a fully specified error-correction model, which makes it possible to test hypotheses on the common factors using standard chi-squared tests. Several empirical examples illustrate the procedure." @default.
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• W2016087196 date "1995-01-01" @default.
• W2016087196 modified "2023-10-16" @default.
• W2016087196 title "Estimation of Common Long-Memory Components in Cointegrated Systems" @default.
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• W2016087196 doi "https://doi.org/10.1080/07350015.1995.10524576" @default.
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