Cookies?
Library Header Image
LSE Research Online LSE Library Services

Semiparametric Estimation of Fractional Cointegration

Hualde, Javier and Robinson, Peter M. (2006) Semiparametric Estimation of Fractional Cointegration. EM/2006/502. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

[img]
Preview
PDF
Download (455Kb) | Preview

Abstract

A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I (0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the cointegrating parameter ν are considered, one involving inverse spectral weighting and the other, unweighted statistics with a spectral estimate at frequency zero. We establish under quite general conditions the asymptotic distributional properties of the estimates of ν, both in case of “strong cointegration” (when the difference between integration orders of observables and cointegrating errors exceeds 1/2) and in case of “weak cointegration” (when that difference is less than 1/2), which includes the case of (asymptotically) stationary observables. Across both cases, the same Wald test statistic has the same standard null χ2 limit distribution, irrespective of whether integration orders are known or estimated. The regularity conditions include unprimitive ones on the integration orders and spectral density estimates, but we check these under more primitive conditions on particular estimates. Finite-sample properties are examined in a Monte Carlo study.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2006 the author
Library of Congress subject classification: H Social Sciences > HB Economic Theory
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: 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/2006/502
Date Deposited: 28 Apr 2008 15:21
URL: http://eprints.lse.ac.uk/4537/

Actions (login required)

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