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Unit Roots and Cointegrating Matrix Estimation using Subspace Methods

Author

Listed:
  • Alfredo Garcia Hiernaux

    (Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II)

  • Miguel Jerez

    (Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II)

  • José Casals

    (Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II)

Abstract

We propose a new procedure to detect unit roots based on subspace methods. It has three main original features. First, the same method can be applied to single or multiple time series. Second, it employs a flexible family of information criteria, which loss functions can be adapted to the statistical properties of the data. Last, it does not require the specification of a stochastic process for the series analyzed. Also, we provide a consistent estimator of the cointegrating rank and the cointegrating matrix. Simulation exercises show that the procedure has good finite sample properties. An example illustrates its application to real time series.

Suggested Citation

  • Alfredo Garcia Hiernaux & Miguel Jerez & José Casals, 2005. "Unit Roots and Cointegrating Matrix Estimation using Subspace Methods," Documentos de Trabajo del ICAE 0512, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:0512
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    State-space models; subspace methods; unit roots; cointegration.;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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