The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
Estimation of Common Long-Memory Components in Cointegrated Systems
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.
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Cites
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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Journal of The American Statistical Association
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Critical Values for Cointegration Tests
MacKinnon, J. G., & MacKinnon, J. G. (2010) · RePEc: Research Papers in Economics · doi:10.22004/ag.econ.273723 · Cited by 2,569
DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES
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Self-citationBeveridge, S., & Nelson, C. R. (1981) · Journal of Monetary Economics · doi:10.1016/0304-3932(81)90040-4 · Cited by 2,293
Measurement of Linear Dependence and Feedback between Multiple Time Series
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A PANIC Attack on Unit Roots and Cointegration
Bai, J., & Ng, S. (2004) · Econometrica · doi:10.1111/j.1468-0262.2004.00528.x · Cited by 1,877
Realized Variance and Market Microstructure Noise
Hansen, P. R., & Lunde, A. (2006) · Journal of Business & Economic Statistics · doi:10.1198/073500106000000071 · Cited by 1,160
Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
Lettau, M., & Ludvigson, S. C. (2004) · American Economic Review · doi:10.1257/000282804322970805 · Cited by 567
The World of Cross-Listings and Cross-Listings of the World: Challenging Conventional Wisdom
Karolyi, G. A. (2006) · Review of Finance · doi:10.1007/s10679-006-6980-8 · Cited by 560
The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis
Norden, L., & Weber, M. (2009) · European Financial Management · doi:10.1111/j.1468-036x.2007.00427.x · Cited by 526
Metadata
- Authors
- Gonzalo, J., & Granger, C.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1995-01
- Volume
- 13
- Issue
- 1
- Pages
- 27-35
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2016087196
- Cited by
- 1,307
- References
- 23
- FWCI
- 50.46
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
