Estimation of common long memory components by Granger(1995)

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Estimation of common long memory components by Granger(1995)

Unread postby upani » Sat Jun 06, 2020 7:34 am

Dear All,

I would like to know how to implement the code for Granger (1995) "Estimation of common long memory components in
cointegrated systems", Journal of Business & Economic Statistics for a bivariate case.

With regards,
Upananda Pani
upani
 
Posts: 57
Joined: Wed Jun 25, 2014 3:31 am

Re: Estimation of common long memory components by Granger(1

Unread postby TomDoan » Sat Jun 06, 2020 8:31 am

It's Gonzalo and Granger, and it's already included as one of the paper replications.
TomDoan
 
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Joined: Wed Nov 01, 2006 5:36 pm

Re: Estimation of common long memory components by Granger(1

Unread postby upani » Sat Jun 06, 2020 12:59 pm

Dear Sir,

The paper replication is for three variables. I want to implement for a bivariate case.

Regards,
Upananda
upani
 
Posts: 57
Joined: Wed Jun 25, 2014 3:31 am

Re: Estimation of common long memory components by Granger(1

Unread postby TomDoan » Sat Jun 06, 2020 8:35 pm

It's actually for six (three each from US and Canada). But what's the issue? Apply the same calculations with two variables.
TomDoan
 
Posts: 7240
Joined: Wed Nov 01, 2006 5:36 pm


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