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Residual log-periodogram inference for long-run relationships

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  • Hassler, Uwe
  • Marmol, Francesc
  • Velasco, Carlos

Abstract

We assume that some consistent estimator of an equilibrium relation between non-stationary series integrated of order d E (0:5; 1:5) is used to compute residuals ˆut = yt - xt (or differences there of). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in order to estimate or test the degree of persistence ± of the equilibrium deviation ut. Provided converges fast enough, we describe simple semiparametric conditions around zero frequency that guarantee consistent estimation of ±. At the same time limiting normality is derived, which allows to construct approximate confidence intervals to test hypotheses on ±. This requires that d ¡ ± > 0:5 for superconsistent b¯, so the residuals can be good proxies of true cointegrating errors. Our assumptions allow for stationary deviations with long memory, 0 · ±

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Bibliographic Info

Paper provided by Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL) in its series Publications of Darmstadt Technical University, Institute of Economics (VWL) with number 18289.

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Date of creation: 01 Jan 2002
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Handle: RePEc:dar:vpaper:18289

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