论文标题
与协整成分集成的曲线时间序列
Fractionally integrated curve time series with cointegration
论文作者
论文摘要
我们介绍了分馏曲线时间序列的方法和理论。我们开发一个方差比率测试，以确定与非平稳和固定子空间相关的维度。对于每个子空间，我们应用一个局部惠特估计器来估计长期内存参数并确定其一致性。包括对有限样本性能的蒙特卡洛研究以及两种经验应用。
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 two empirical applications.
