Cookies?
Library Header Image
LSE Research Online LSE Library Services

Finite sample performance in cointegration analysis of nonlinear time series with long memory

da Silva, Afonso Gonçalves and Robinson, Peter (2008) Finite sample performance in cointegration analysis of nonlinear time series with long memory. Econometric Reviews, 27 (1). pp. 268-297. ISSN 0747-4938

Full text not available from this repository.

Abstract

Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are invalid in this setting. Determination of asymptotic theory under more plausible assumptions can be complicated and lengthy. We discuss these issues and present a Monte Carlo study, showing that asymptotic theory should not necessarily be expected to provide a good approximation to finite-sample behavior.

Item Type: Article
Official URL: http://www.tandf.co.uk/journals/titles/07474938.as...
Additional Information: © 2008 Taylor & Francis Group, LLC
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Sets: Departments > Economics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 15 Apr 2011 15:51
URL: http://eprints.lse.ac.uk/35689/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only