Arbeitspapier
Spectral based methods to identify common trends and common cycles
The rank of the spectral density matrix conveys relevant information in a variety of modelling scenarios. Phillips (1986) showed that a necessary condition for cointegration is that the spectral density matrix of the innovation sequence at frequency zero is of a reduced rank. In a recent paper Forni and Reichlin (1998) suggested the use of generalized dynamic factor model to explain the dynamics of a large set of macroeconomic series. Their method relied also on the computation of the rank of the spectral density matrix. This paper provides formal tests to estimate the rank of the spectral density matrix at any given frequency. The tests of rank at frequency zero are tests of the null of 'cointegration', complementary to those suggested by Phillips and Ouliaris (1988) which test the null of 'no cointegration'.
- Language
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Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 62
- Classification
-
Wirtschaft
Hypothesis Testing: General
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Event
-
Geistige Schöpfung
- (who)
-
Camba-Méndez, Gonzalo
Kapetanios, George
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Camba-Méndez, Gonzalo
- Kapetanios, George
- European Central Bank (ECB)
Time of origin
- 2001
Other Objects (12)
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A new nonparametric test of cointegration rank
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
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Testing for strict stationarity
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A note on joint estimation of common cycles and common trends in nonstationary multivariate systems
Spectral based methods to identify common trends and common cycles
Estimating the rank of the spectral density matrix
On testing for diagonality of large dimensional covariance matrices
Unit root testing against the alternative hypothesis of up to m structural breaks
A new nonparametric test of cointegration rank
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Measuring conditional persistence in time series
Testing for strict stationarity
Cluster analysis of panel datasets using non-standard optimisation of information criteria
Using extraneous information and GMM to estimate threshold parameters in TAR models
A bootstrap invariance principle for highly nonstationary long memory processes
A note on joint estimation of common cycles and common trends in nonstationary multivariate systems
Spectral based methods to identify common trends and common cycles
Estimating the rank of the spectral density matrix
On testing for diagonality of large dimensional covariance matrices
Unit root testing against the alternative hypothesis of up to m structural breaks
A new nonparametric test of cointegration rank
Dynamic factor extraction of cross-sectional dependence in panel unit root tests
Measuring conditional persistence in time series
Testing for strict stationarity
Cluster analysis of panel datasets using non-standard optimisation of information criteria
Using extraneous information and GMM to estimate threshold parameters in TAR models