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Cointegration in fractional systems with unkown integration orders

Hualde, Javier and Robinson, Peter M. (2003) Cointegration in fractional systems with unkown integration orders. Econometrics (EM/2003/449). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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Abstract

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be very good, so we consider a refined, Edgeworth, approximation, for both a tapered estimate, and the original untapered one. For the tapered estimate, our higher-order correction involves two terms, one of order 1/√m (where m is the bandwidth number in the estimation), the other a bias term, which increases in m; depending on the relative magnitude of the terms, one or the other may dominate, or they may balance. For the untapered estimate we obtain an expansion in which, for m increasing fast enough, the correction consists only of a bias term. We discuss applications of our expansions to improved statistical inference and bandwidth choice. We assume Gaussianity, but in other respects our assumptions seem mild.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2013 The Authors
Divisions: Economics
STICERD
Subjects: H Social Sciences > HB Economic Theory
Sets: Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Date Deposited: 21 Jul 2014 13:39
Last Modified: 30 Jun 2020 23:22
Projects: R000238212
Funders: Economic and Social Research Council, Leverhulme Trust
URI: http://eprints.lse.ac.uk/id/eprint/58050

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