Fractionally integrated curve time series with cointegration

12/08/2022

∙

by   Won-Ki Seo, et al.

∙

0

∙

share

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 an empirical application.