Cookies?
Library Header Image
LSE Research Online LSE Library Services

Finite sample improvement in statistical inference with I(1) processes

Marinucci, D and Robinson, Peter M (2001) Finite sample improvement in statistical inference with I(1) processes. Econometrics (EM/2001/422). The London School of Economics and Political Science, Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

[img]
Preview
PDF - Published Version
Download (195kB) | Preview

Abstract

Robinson and Marinucci (1998) investigated the asymptotic behaviour of a narrow-band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here we restrict to the standard case when the data are I(1) and the cointegrating errors are I(0), proving that modifications of the Fully-Modified Ordinary Least Squares (FM-OLS) procedure of Phillips and Hansen (1990) which use the FDLS idea have the same asymptotically desirable properties as FM-OLS, and, on the basis of a Monte Carlo study, find evidence that they have superior finite-sample properties; the new procedures are also shown to compare satisfactorily with parametric estimates.

Item Type: Monograph (Report)
Official URL: http://sticerd.lse.ac.uk/
Additional Information: © 2001 The Authors
Divisions: Economics
STICERD
Subjects: H Social Sciences > HA Statistics
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: 22 Jul 2014 09:11
Last Modified: 19 Feb 2019 20:57
Projects: R000235892
Funders: Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/58079

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics