Some frequency domain properties of fractionally cointegrated processes

Applied Economics Letters

Volumn 11, Issue 14, 2004, Pages 891-894

  Morana, Claudio ^a  

^a UNIVERSITY OF EASTERN PIEDMONT   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS;

EID: 10244222785     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485042000261289     Document Type: Article

References (5)

1. Granger, C. W. J. and Weiss, A. A. (1983) Time series analysis of error correcting models, in Studies in Econometrics (Eds) S. Karlin, T. Amemuja, L. A. Goodman, Time Series and Multivariate Statistics, Academic Press, New York, pp. 255-78.
2. Levy, D. (2002) Cointegration in the frequency domain, Journal of Time Series Analysis, 23(3), 333-9.
3. Morana, C. (2004a) A structural common factor approach to core inflation estimation and forecasting, European Central Bank Working Paper Series, no. 305.
4. Morana, C. (2004b) Frequency domain principal components estimation of fractionally cointegrated long memory processes, European Central Bank Working Paper Series, no. 321.
5. Priestley, M. B. (1981) Spectral Analysis and Time Series, Academic Press, New York.