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Asymptotic properties of estimators for seasonally cointegrated state space Models[...]
Inference Based on the Subspace Estimators
Model Set and Assumptions
Canonical Variate Analysis
Asymptotic Properties of the System Estimators
Inference Based on the Subspace Estimators
Deterministic Terms
Simulations
VAR Processes
VARMA Processes
Robustness of Unit Root Tests for Daily Data
Application
Conclusions
Supporting Material
Complex Valued Canonical Form
Perturbation of Eigendecompositions
Random Transformation of Systems
Reduced Rank Regression with Integrated Variables
Proofs of the Theorems
Proof of Theorem 1
Proof of Theorem 1 (I)
Proof of Theorem 1 (II)
Proof of Theorem 1 (III)
Proof of Theorem 2
Proof of Theorem 3
Proof of Theorem 4
References
Journal Article
Asymptotic properties of estimators for seasonally cointegrated state space Models obtained using the CVA Subspace Method
Place and Date of Creation
2021
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