Search Results - subject:"unknown integration orders"

Semiparametric Estimation of Fractional Cointegration

Hualde, Javier; Robinson, Peter M. - London School of Economics (LSE) - 2006

A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I (0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the cointegrating parameter ν are considered, one involving inverse spectral...

Persistent link: https://www.econbiz.de/10011071239

Semiparametric Estimation of Fractional Cointegration

Hualde, Javier; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2006

: Fractional cointegration, semiparametric model, unknown integration orders. © The …- tional setting, with unknown integration orders. To describe our model, we introduce the following de�nitions corresponding … in the possible presence of unknown integration orders of observables and/or cointegrating errors. 4. Estimation of …

Persistent link: https://www.econbiz.de/10005797520

Cointegration in Fractional Systems with Unkown Integration Orders

Hualde, Javier; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 2003

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...

Persistent link: https://www.econbiz.de/10005510546

Cointegration in fractional systems with unkown integration orders

Hualde, Javier; Robinson, Peter M. - London School of Economics (LSE) - 2003

Persistent link: https://www.econbiz.de/10011126531

Cointegration in Fractional Systems with Unknown Integration Orders

Robinson, Peter M.; Hualde, Javier - School of Economics and Business Administration, … - 2002

Cointegration of nonstationary time series is considered in a fractional context. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is nested, but these values have typically been...

Persistent link: https://www.econbiz.de/10005583105