FCI_CH03: Rank estimation in fractionally cointegrated systems.
In LongMemoryTS: Long Memory Time Series

Description Usage Arguments Author(s) References Examples

FCI_CH03 Rank estimation in fractionally cointegrated systems by Chen, Hurvich (2003). Returns estimated cointegrating rank.

1	FCI_CH03(X, diff_param = 1, m_peri, m)

`X`	vector of length T.
`diff_param`	integer specifying the order of differentiation in order to ensure stationarity of data, where diff_param-1 are the number of differences. Default is `diff_param=1`.
`m_peri`	fixed positive integer for averaging the periodogram, where `m_peri>(nbr of series + 3)`
`m`	bandwith parameter specifying the number of Fourier frequencies used for the estimation, usually `floor(1+T^delta)`, where 0<delta<1.

Christian Leschinski

Chen, W. W. and Hurvich, C. M. (2003): Semiparametric estimation of multivariate fractional cointegration. Journal of the American Statistical Association, Vol. 98, No. 463, pp. 629 - 642.

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T<-1000
series<-FI.sim(T=T, q=3, rho=0.4, d=c(0.1,0.2,0.4), B=rbind(c(1,0,-1),c(0,1,-1),c(0,0,1)))
FCI_CH03(series,diff_param=1, m_peri=25, m=floor(1+T^0.65))