Cookies?
Library Header Image
LSE Research Online LSE Library Services

Semiparametric fractional cointegration analysis

Marinucci, D and Robinson, Peter M. (2001) Semiparametric fractional cointegration analysis. Econometrics; EM/2001/420, EM/01/420. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

[img]
Preview
PDF
Download (238kB) | Preview
Identification Number: EM/01/420

Abstract

Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related semiparametric methods of inference for testing the memory of observables and the presence of fractional cointegration. These procedures are employed in analysing empirical macroeconomic series; their usefulness and feasibility in finite samples is supported by results of a Monte Carlo experiment.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2001 the authors
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 27 Apr 2007
Last Modified: 01 Oct 2010 08:47
URI: http://eprints.lse.ac.uk/id/eprint/2269

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics