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Estimation of the cointegrating rank in fractional cointegration

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    Abstract

    This paper proposes an estimator of the cointegrating rank of a potentially cointegrated multivariate fractional process. Our setting is very flexible, allowing the individual observable processes to have different integration orders. The proposed method is automatic and can be also employed to infer the dimensions of possible cointegrating subspaces, which are characterized by special directions in the cointegrating space which generate cointegrating errors with smaller integration orders, increasing the “achievement” of the cointegration analysis. A Monte Carlo experiment of finite sample performance and an empirical analysis are included.

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    File URL: ftp://ftp.econ.unavarra.es/pub/DocumentosTrab/DT1205.PDF
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    Bibliographic Info

    Paper provided by Departamento de Economía - Universidad Pública de Navarra in its series Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra with number 1205.

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    Date of creation: 2012
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    Publication status: Published in
    Handle: RePEc:nav:ecupna:1205

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    Related research

    Keywords: fractional integration; cointegrating rank; cointegrating space and subspaces.;

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    1. Hualde, Javier & Velasco, Carlos, 2008. "Distribution-Free Tests Of Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 24(01), pages 216-255, February.
    2. Javier Hualde & Peter Robinson, . "Semiparametric Estimation of Fractional Cointegration," Faculty Working Papers 07/06, School of Economics and Business Administration, University of Navarra.
    3. Renato Flôres & Ariane Szafarz, 1996. "An enlarged definition of cointegration," ULB Institutional Repository 2013/705, ULB -- Universite Libre de Bruxelles.
    4. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, September.
    5. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
    6. Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA.
    7. Robinson, P.M., 2008. "Diagnostic testing for cointegration," Journal of Econometrics, Elsevier, vol. 143(1), pages 206-225, March.
    8. D Marinucci & Peter M. Robinson, 2001. "Semiparametric fractional cointegration analysis," LSE Research Online Documents on Economics 2269, London School of Economics and Political Science, LSE Library.
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