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Exact Local Whittle Estimation of Fractionally Cointegrated Systems

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  • Katsumi Shimotsu

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Abstract

Semiparametric estimation of a bivariate fractionally cointegrated system is considered. The new estimator employs the exact local Whittle approach developed by Shimotsu and Phillips (2003a) and estimates the two memory parameters jointly with the cointegrating vector. It permits both (asymptotically) stationary and nonstationary stochastic trends and/or equilibrium errors without relying on differencing or data tapering. Indeed, the asymptotic properties of the estimator depend only on the difference of the two memory parameters. The estimator of the memory parameters is shown to be consistent and asymptotically normally distributed in both stationary and nonstationary cases.

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Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 570.

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Date of creation: 25 Nov 2003
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Handle: RePEc:esx:essedp:570

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Cited by:
  1. Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," AMSE Working Papers 1353, Aix-Marseille School of Economics, Marseille, France, revised 29 Oct 2013.
  2. Gilles De Truchis & Benjamin Keddad, 2012. "South East Asian Monetary Integration: New Evidences from Fractional Cointegration of Real Exchange Rates," Working Papers halshs-00793503, HAL.

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