da Silva, Afonso Gonçalves and Robinson, Peter (2008) Finite sample performance in cointegration analysis of nonlinear time series with long memory. Econometric Reviews, 27 (1). pp. 268-297. ISSN 0747-4938
Full text not available from this repository.Abstract
Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are invalid in this setting. Determination of asymptotic theory under more plausible assumptions can be complicated and lengthy. We discuss these issues and present a Monte Carlo study, showing that asymptotic theory should not necessarily be expected to provide a good approximation to finite-sample behavior.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.tandf.co.uk/journals/titles/07474938.as... |
| Additional Information: | © 2008 Taylor & Francis Group, LLC |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
| JEL classification: | C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models |
| Date Deposited: | 15 Apr 2011 15:51 |
| Last Modified: | 08 Apr 2024 02:12 |
| URI: | http://eprints.lse.ac.uk/id/eprint/35689 |
Actions (login required)
 |
View Item |
