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arXiv · 2212.04071

Fractionally integrated curve time series with cointegration

Won-Ki Seo·Han Lin Shang
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Abstract

We introduce methods and theory for fractionally cointegrated curve time series. We develop a variance-ratio test to determine the dimensions associated with the nonstationary and stationary subspaces. For each subspace, we apply a local Whittle estimator to estimate the long-memory parameter and establish its consistency. A Monte Carlo study of finite-sample performance is included, along with two empirical applications.

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Won-Ki Seo, Han Lin Shang. 2022-12-08. Fractionally integrated curve time series with cointegration. https://arxiv.org/abs/2212.04071

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