FCI_NS07 function

Rank estimation in fractionally cointegrated systems by Nielsen, Shimotsu (2007).

FCI_NS07 Rank estimation in fractionally cointegrated systems by Nielsen, Shimotsu (2007). Returns estimated cointegrating rank, r=0,...,dim-1.

FCI_NS07(X, m, m1, mean_correct = c("mean", "init", "weighted", "none"),
  v_n = m^(-0.3))

Arguments

• X: data matrix.
• m: bandwith parameter specifying the number of Fourier frequencies used for the estimation of G, usually floor(1+T^delta), where 0<delta<1 and m1>m.
• m1: bandwith parameter specifying the number of Fourier frequencies used for the memory estimation , usually floor(1+T^delta1), where 0<delta1<1 and m1>m.
• mean_correct: specifies the form of mean correction in the memory estimation.
• v_n: bandwidth parameter. Nielsen and Shimotsu (2007) use m^(-0.3) in their simulation studies, which is the default value. m^(-b) mit 0<b<0.5 can be used.

Examples

T<-1000
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.1,0.4), B=rbind(c(1,-1),c(0,1)))
FCI_NS07(series, m1=floor(1+T^0.75), m=floor(1+T^0.65))
series<-FI.sim(T=T, q=2, rho=0.4, d=c(0.9,0.9))
FCI_NS07(series, m1=floor(1+T^0.75), m=floor(1+T^0.65))

References

Nielsen, M. 0. and Shimotsu, K. (2007): Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach. Journal of Econometrics, Vol. 141, No. 2, pp. 574 - 596.

Author(s)

Christian Leschinski, Michelle Voges