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Finite sample improvements in statistical inference with I(1) processes

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Author Info
D. Marinucci (Università La Sapienza, via del Castro Laurenziano 9, 00161 Rome, Italy)
P. M. Robinson (London School of Economics, Houghton Street, 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 discussion 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. Copyright © 2001 John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 16 (2001)
Issue (Month): 3 ()
Pages: 431-444
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Handle: RePEc:jae:japmet:v:16:y:2001:i:3:p:431-444

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March. [Downloadable!] (restricted)
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  2. Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233. [Downloadable!] (restricted)
  3. Davidson, James E H, et al, 1978. "Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom," Economic Journal, Royal Economic Society, vol. 88(352), pages 661-92, December. [Downloadable!] (restricted)
  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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