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Autoren: 
Nielsen, Morten Ørregaard
Seo, Won-Ki
Seong, Dakyung
Datum: 
2019
Schriftenreihe/Nr.: 
Queen’s Economics Department Working Paper No. 1420
Zusammenfassung: 
We propose a statistical procedure to determine the dimension of the nonstationary subspace of cointegrated functional time series taking values in the Hilbert space of square-integrable functions defined on a compact interval. The procedure is based on sequential application of a proposed test for the dimension of the nonstationary subspace. To avoid estimation of the long-run covariance operator, our test is based on a variance ratio-type statistic. We derive the asymptotic null distribution and prove consistency of the test. Monte Carlo simulations show good performance of our test and provide evidence that it outperforms the existing testing procedure. We apply our methodology to three empirical examples: age-specific US employment rates, Australian temperature curves, and Ontario electricity demand.
Schlagwörter: 
cointegration
functional data
nonstationary
stochastic trends
varianceratio
JEL: 
C32
Dokumentart: 
Working Paper

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