IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes

  • Wen-Jen Tsay

This paper suggests a difference-based method for inference in the regression model involving fractionally integrated processes. Under suitable regularity conditions, our method can effectively deal with the inference problems associated with the regression model consisting of nonstationary, stationary and intermediate memory regressors, simultaneously. Although the difference-based method provides a very flexible modelling framework for empirical studies, the implementation of this method is extremely easy, because it completely avoids the difficult problems of choosing a kernel function, a bandwidth parameter, or an autoregressive lag length for the long-run variance estimation. The asymptotic local power of our method is investigated with a sequence of local data-generating processes (DGP) in what Davidson and MacKinnon [Canadian Journal of Economics. (1985) Vol. 18, pp. 38-57] call 'regression direction'. The simulation results indicate that the size control of our method is excellent even when the sample size is only 100, and the pattern of power performance is highly consistent with the theoretical finding from the asymptotic local power analysis conducted in this paper. Copyright 2007 The Author Journal compilation 2007 Blackwell Publishers Ltd.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2007.00534.x
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Wiley Blackwell in its journal Journal of Time Series Analysis.

Volume (Year): 28 (2007)
Issue (Month): 6 (November)
Pages: 827-843

as
in new window

Handle: RePEc:bla:jtsera:v:28:y:2007:i:6:p:827-843
Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782

Order Information: Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:28:y:2007:i:6:p:827-843. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

or (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.