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Semiparametric inference in multivariate fractionally cointegrated systems

  • Hualde, J.
  • Robinson, P.M.

A semiparametric multivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two estimates of the vector of cointegrating parameters [nu] are considered. One involves inverse spectral weighting and the other is unweighted but uses a spectral estimate at frequency zero. Both corresponding Wald statistics for testing linear restrictions on [nu] are shown to have a standard null [chi]2 limit distribution under quite general conditions. Notably, this outcome is irrespective of whether cointegrating relations are "strong" (when the difference between integration orders of observables and cointegrating errors exceeds 1/2), or "weak" (when that difference is less than 1/2), or when both cases are involved. Finite-sample properties are examined in a Monte Carlo study and an empirical example is presented.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 157 (2010)
Issue (Month): 2 (August)
Pages: 492-511

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Handle: RePEc:eee:econom:v:157:y:2010:i:2:p:492-511
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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