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The Distance between Rival Nonstationary Fractional Processes

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Author Info
Peter M Robinson

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Abstract

Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete Fourier transforms under two regimes. We apply the results to deduce limit theory for estimates of memory parameters, including ones for cointegrated errors, with mention also of implications for estimates of cointegrating coefficients.

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Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2004/468.

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Date of creation: Mar 2004
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Handle: RePEc:cep:stiecm:/2004/468

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Keywords: Nonstationary fractional processes; memory parameter estimation; fractional cointegration; rates of convergence.;

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This paper has been announced in the following NEP Reports: References listed on IDEAS
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. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August. [Downloadable!] (restricted)
  2. D Marinucci & Peter M Robinson, 2001. "Narrow-Band Analysis of Nonstationary Processes," STICERD - Econometrics Paper Series /2001/421, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  3. Peter M Robinson & Carlos Velasco, 2000. "Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series - (Now published in Journal of the American Statistical Association, 95, (2000), pp.1229-1243.)," STICERD - Econometrics Paper Series /2000/391, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  4. Javier Hualde & Peter M. Robinson, 2002. "Root-n-Consistent Estimation of Weak Fractional Cointegration," Faculty Working Papers 08/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  5. Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March. [Downloadable!] (restricted)
  6. Peter M. Robinson & Javier Hualde, 2002. "Cointegration in Fractional Systems with Unknown Integration Orders," Faculty Working Papers 07/02, School of Economics and Business Administration, University of Navarra. [Downloadable!]
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  7. Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.
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Cited by:
(explanations, 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. Katsumi Shimotsu, 2006. "Exact Local Whittle Estimation of Fractional Integration with Unknown Mean and Time Trend," Working Papers 1061, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  2. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  3. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series /2006/502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
  4. Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics. [Downloadable!]
    Other versions:
  5. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]
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