FCI_CH03 function

Rank estimation in fractionally cointegrated systems.

FCI_CH03 Rank estimation in fractionally cointegrated systems by Chen, Hurvich (2003). Returns estimated cointegrating rank.

FCI_CH03(X, diff_param = 1, m_peri, m)

Arguments

• X: vector of length T.
• diff_param: integer specifying the order of differentiation in order to ensure stationarity of data, where diff_param-1 are the number of differences. Default is diff_param=1.
• m_peri: fixed positive integer for averaging the periodogram, where m_peri>(nbr of series + 3)
• m: bandwith parameter specifying the number of Fourier frequencies used for the estimation, usually floor(1+T^delta), where 0<delta<1.

Examples

T<-1000
series<-FI.sim(T=T, q=3, rho=0.4, d=c(0.1,0.2,0.4), B=rbind(c(1,0,-1),c(0,1,-1),c(0,0,1)))
FCI_CH03(series,diff_param=1, m_peri=25, m=floor(1+T^0.65))

References

Chen, W. W. and Hurvich, C. M. (2003): Semiparametric estimation of multivariate fractional cointegration. Journal of the American Statistical Association, Vol. 98, No. 463, pp. 629 - 642.

Author(s)

Christian Leschinski