GSE_coint {LongMemoryTS}

Multivariate local Whittle estimation of long memory parameters and cointegrating vector.

Description

GSE_coint is an extended version of GSE that allows the joint estimation of the memory parameters and the cointegration vector for a vector valued process.

Usage

GSE_coint(X, m = m, elements, l = 1)

Arguments

X

data matrix with T observations of q-dimensional process.

m

bandwith parameter specifying the number of Fourier frequencies used for the estimation. Usually floor(1+T^delta), where 0<delta<1.

elements

vector specifying which elements of the observation vector are cointegrated.

l

integer that specifies the number of Fourier frequencies (l-1) that are trimmed.

Examples

#
# Cointegration:
#
T<-500
m<-floor(T^0.75)
series<-FI.sim(T=T,q=2,rho=0,d=c(0.1,0.4), B=rbind(c(1,-1),c(0,1)))
ts.plot(series, col=1:2)
GSE_coint(X=series,m=m, elements=c(1,2))