Finite Sample Improvement in Statistical Inference with I(1) Processes
AbstractRobinson 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 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2001/422.
Date of creation: Jul 2001
Date of revision:
Contact details of provider:
Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp
Fully-modified ordinary least squares; finite sample improvements; statistical inference with I(1) processes; Monte Carlo study; parametric estimates.;
Other versions of this item:
- D. Marinucci & P. M. Robinson, 2001. "Finite sample improvements in statistical inference with I(1) processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 431-444.
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.:
- Phillips, P C B, 1991.
"Optimal Inference in Cointegrated Systems,"
Econometric Society, vol. 59(2), pages 283-306, March.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Phillips, P.C.B., 1988.
"Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations,"
Cambridge University Press, vol. 4(03), pages 528-533, December.
- Peter C.B. Phillips, 1987. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations," Cowles Foundation Discussion Papers 846, Cowles Foundation for Research in Economics, Yale University.
- Gonzalo, Jesús, .
"Five alternative methods of estimating long-run equilibrium relationships,"
Open Access publications from Universidad Carlos III de Madrid
info:hdl:10016/731, Universidad Carlos III de Madrid.
- Gonzalo, Jesus, 1994. "Five alternative methods of estimating long-run equilibrium relationships," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 203-233.
- 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.
- Robinson, P.M. & Velasco, Carlos, . "Autocorrelation-Robust Inference," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4529, Universidad Carlos III de Madrid.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.