The Estimation and Testing of the Cointegration Order Based on the Frequency Domain
基于频域的协整阶数估计与检验
This article proposes a method to estimate the degree of cointegration in bivariate series and suggests a test statistic for testing noncointegration based on the determinant of the spectral density matrix for the frequencies close to zero. In the study, series are assumed to be I(d), 0 < d ⩽ 1, with parameter d supposed to be known. In this context, the order of integration of the error series is I(d − b), b ∈ [0, d]. Besides, the determinant of the spectral density matrix…