Robinson, Peter M. (2004) The distance between rival nonstationary fractional processes. Econometrics; EM/2004/468, EM/03/468. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.
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Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete Fourier transforms under two regimes. We apply the results to deduce limit theory for estimates of memory parameters, including ones for cointegrated errors, with mention also of implications for estimates of cointegrating coefficients.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2004 Peter M Robinson|
|Uncontrolled Keywords:||Nonstationary fractional processes; memory parameter estimation; fractional cointegration; rates of convergence.|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Journal of Economic Literature Classification System:||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)
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