Semiparametric fractional cointegration analysis
Marinucci, D. & Robinson, P. M.
(2001).
Semiparametric fractional cointegration analysis.
(Econometrics; EM/2001/420 EM/01/420).
Suntory and Toyota International Centres for Economics and Related Disciplines.
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.
| Item Type | Working paper |
|---|---|
| Copyright holders | © 2001 the authors |
| Departments |
LSE > Academic Departments > Economics LSE > Research Centres > STICERD |
| Date Deposited | 27 Apr 2007 |
| URI | https://researchonline.lse.ac.uk/id/eprint/2269 |
Explore Further
- https://www.scopus.com/pages/publications/0012651134 (Scopus publication)
- http://sticerd.lse.ac.uk (Official URL)