2015/05/04 by Rongmao Zhang, Zhang, Rongmao, Peter M. Robinson +3 · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #Methodology (stat.ME) #Statistical Mechanics and Entropy #Theoretical and Computational Physics
paper · pdf · doi:10.48550/arxiv.1505.00821
openalex publication_date 2015/05/04 · openalex created_date 2019/10/10 · openalex updated_date 2026/07/28
We propose a new and easy-to-use method for identifying cointegrated components of nonstationary time series, consisting of an eigenanalysis for a certain non-negative definite matrix. Our setting is model-free, and we allow the integer-valued integration orders of the observable series to be unknown, and to possibly differ. Consistency of estimates of the cointegration space and cointegration rank is established both when the dimension of the observable time series is fixed as sample size increases, and when it diverges slowly. The proposed methodology is also extended and justified in a fractional setting. A Monte Carlo study of finite-sample performance, and a small empirical illustration, are reported.