Semiparametric Fractional Cointegration Analysis
AbstractFractional 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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Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2001/420.
Date of creation: Jul 2001
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Semiparametric analysis; fractional cointegration.;
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