Hualde, Javier and Robinson, Peter M. (2003) Cointegration in fractional systems with unkown integration orders. Econometrics, EM/2003/449. The London School of Economics and Political Science, 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 (Technical Report) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk/ |
| Additional Information: | © 2013 The Authors |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Sets: | Departments > Economics Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD) |
| Identification Number: | EM/2003/449 |
| Funders: | Economic and Social Research Council (ESRC), Leverhulme Trust |
| Projects: | R000238212 |
| Date Deposited: | 21 Jul 2014 13:39 |
| URL: | http://eprints.lse.ac.uk/58050/ |
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