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Fractional cointegration in stochastic volatility models

Gonçalves da Silva, Afonso and Robinson, Peter (2007) Fractional cointegration in stochastic volatility models. EM/2007/519. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Abstract

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series nonparametric estimates of the score function are employed in adaptive estimates of parameters of interest. These estimates are as efficient as ones based on a correct form, in particular they are more efficient than pseudo-Gaussian maximum likelihood estimates at non-Gaussian distributions. Two different adaptive estimates are considered. One entails a stringent condition on the spatial weight matrix, and is suitable only when observations have substantially many "neighbours". The other adaptive estimate relaxes this requirement, at the expense of alternative conditions and possible computational expense. A Monte Carlo study of finite sample performance is included.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2007 Cambridge University Press
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)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: EM/2007/519
Date Deposited: 28 Apr 2008 14:25
URL: http://eprints.lse.ac.uk/4534/

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