Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Semiparametric estimation of fractional cointegrating subspaces   We consider a common-components model for multivariate fractional
cointegration, in which the $s\geq1$ components have different memory
parameters. The cointegrating rank may exceed 1. We decompose the true
cointegrating vectors into orthogonal fractional cointegrating subspaces such
that vectors from distinct subspaces yield cointegrating errors with distinct
memory parameters. We estimate each cointegrating subspace separately, using
appropriate sets of eigenvectors of an averaged periodogram matrix of tapered,
differenced observations, based on the first $m$ Fourier frequencies, with $m$
fixed. The angle between the true and estimated cointegrating subspaces is
$o_p(1)$. We use the cointegrating residuals corresponding to an estimated
cointegrating vector to obtain a consistent and asymptotically normal estimate
of the memory parameter for the given cointegrating subspace, using a
univariate Gaussian semiparametric estimator with a bandwidth that tends to
$\infty$ more slowly than $n$. We use these estimates to test for fractional
cointegration and to consistently identify the cointegrating subspaces.

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The categories of this paper are: comp-gas
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The categories of this paper are: chem-ph
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The categories of this paper are: econ
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The categories of this paper are: hep-lat
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The categories of this paper are: physics
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The categories of this paper are: nlin
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The categories of this paper are: q-alg
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The categories of this paper are: cond-mat
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The categories of this paper are: acc-phys
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The categories of this paper are: cmp-lg
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The categories of this paper are: chao-dyn
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The categories of this paper are: hep-th
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The categories of this paper are: nucl-ex
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The categories of this paper are: funct-an
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The categories of this paper are: nucl-th
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The categories of this paper are: ao-sci