Distribution-free Tests of Fractional Cointegration
AbstractWe propose tests of the null of spurious relationship against the alternative of fractional cointegration among the components of a vector of fractionally integrated time series. Our test statistics have an asymptotic chi-square distribution under the null and rely on GLS-type of corrections which control for the short run correlation of the weak dependent components of the fractionally integrated processes. We emphasize corrections based on nonparametric modelization of the innovations' autocorrelation, relaxing important conditions which are standard in the literature, and, in particular, being able to consider simultaneously (asymptotically) stationary or nonstationary processes. Relatively weak conditions on the corresponding short run and memory parameter estimates are assumed. The new tests are consistent with a divergence rate that, in most of the cases, as we show in a simple situation, depends on the cointegration degree. Finite-sample properties of the tests are analysed by means of a Monte Carlo experiment.
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Bibliographic InfoPaper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 08/06.
Length: 35 pages
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Publication status: Forthcoming, Econometric Theory
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Web page: http://www.unav.es/facultad/econom
Other versions of this item:
- Hualde, Javier & Velasco, Carlos, 2008. "Distribution-Free Tests Of Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 24(01), pages 216-255, February.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-02 (All new papers)
- NEP-ECM-2006-07-02 (Econometrics)
- NEP-ETS-2006-07-02 (Econometric Time Series)
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- Javier Hualde, 2012. "Estimation of the cointegrating rank in fractional cointegration," Documentos de Trabajo - Lan Gaiak Departamento de EconomÃa - Universidad PÃºblica de Navarra 1205, Departamento de Economía - Universidad Pública de Navarra.
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- Avarucci, Marco & Velasco, Carlos, 2008. "A Wald Test for the Cointegration Rank in Nonstationary Fractional Systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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