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Semiparametric fractional cointegration analysis

Authors
Publisher
Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Publication Date
Keywords
  • Hb Economic Theory
Disciplines
  • Economics
  • Logic

Abstract

Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related semiparametric methods of inference for testing the memory of observables and the presence of fractional cointegration. These procedures are employed in analysing empirical macroeconomic series; their usefulness and feasibility in finite samples is supported by results of a Monte Carlo experiment.

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