Marinucci, D and Robinson, Peter M (2001) Finite sample improvement in statistical inference with I(1) processes. Econometrics (EM/2001/422). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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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 |
| Date Deposited: | 22 Jul 2014 09:11 |
| Last Modified: | 13 Sep 2024 16:29 |
| Projects: | R000235892 |
| Funders: | Economic and Social Research Council |
| URI: | http://eprints.lse.ac.uk/id/eprint/58079 |
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