Template-type: ReDIF-Paper 1.0
Author-Name: Alfredo Garcia Hiernaux
Author-Workplace-Name: Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II
Author-Name: Miguel Jerez
Author-Email: mjerez@ccee.ucm.es
Author-Workplace-Name: Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II
Author-Name: José Casals
Author-Workplace-Name: Universidad Complutense de Madrid, Dpto. de Fundamentos del Análisis Económico II
Title: Unit Roots and Cointegrating Matrix Estimation using Subspace Methods
Abstract: We propose a new procedure to detect unit roots based on subspace
	methods. It has three main original features. First, the same method can
	be applied to single or multiple time series. Second, it employs a flexible
	family of information criteria, which loss functions can be adapted to the
	statistical properties of the data. Last, it does not require the specification
	of a stochastic process for the series analyzed. Also, we provide a consistent
	estimator of the cointegrating rank and the cointegrating matrix. Simulation
	exercises show that the procedure has good finite sample properties. An
	example illustrates its application to real time series.
Classification-JEL: C15, C32, C51, C87
Keywords: State-space models, subspace methods, unit roots, cointegration. 
Length: 36 pages 
Creation-Date: 2005
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0512.txt 
File-URL: https://eprints.ucm.es/id/eprint/7907/1/0512.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0512