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The distance between rival nonstationary fractional processes

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, 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)
Official URL:
Additional Information: © 2004 Peter M Robinson
Divisions: Economics
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
Date Deposited: 27 Apr 2007
Last Modified: 15 Sep 2023 22:57

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