Robinson, Peter M. (2004) The distance between rival nonstationary fractional processes. Econometrics; EM/2004/468 (EM/03/468). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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Abstract
Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete Fourier transforms under two regimes. We apply the results to deduce limit theory for estimates of memory parameters, including ones for cointegrated errors, with mention also of implications for estimates of cointegrating coefficients.
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 2004 Peter M Robinson |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 13 Sep 2024 19:53 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2282 |
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