Economic theory commonly distinguishes between different time horizons such as the short run and the long run, each with its own relationships and its own dynamics. Engle (1974) proposed a bandspectrum regression to estimate such models. This paper proposes a new estimator for non-stationary panel data models, a bandspectrum cointegration estimator. The bandspectrum cointegration estimator uses first differenced data to avoid spurious results. Such estimates are, however, less efficient than estimates from a model with non-stationary data. Still, simulation results in the paper show that the bandspectrum cointegration estimator is more efficient than common time domain estimators, for example VECM and OLS levels estimators, if the data generating process contains more than one time horizon. The BSCE furthermore identifies all horizons in the data generating process and estimates an individual parameter vector for each, a property that neither time domain estimator possesses.
|Date of creation:||02 Dec 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund,Sweden|
Phone: +46 +46 222 0000
Fax: +46 +46 2224613
Web page: http://www.nek.lu.se/en
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- D Marinucci & Peter M. Robinson, 1998. "Semiparametric frequency domain analysis of fractional cointegration," LSE Research Online Documents on Economics 2258, London School of Economics and Political Science, LSE Library.
- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
- Milton Friedman & Simon Kuznets, 1954. "Income from Independent Professional Practice," NBER Books, National Bureau of Economic Research, Inc, number frie54-1, September.
- Englund, Peter & Persson, Torsten & Svensson, Lars E. O., 1992.
"Swedish business cycles: 1861-1988,"
Journal of Monetary Economics,
Elsevier, vol. 30(3), pages 343-371, December.
- Englund, P. & Persson, T. & Svensson, L.E.O., 1990. "Swedish Business Cyscles: 1861-1988," Papers 1990r, Uppsala - Working Paper Series.
- Englund, P. & Persson, T. & Svensson, L.E.O., 1991. "Swedish Business Cycles : 1861-1988," RCER Working Papers 275a, University of Rochester - Center for Economic Research (RCER).
- Ramsey, James B. & Lampart, Camille, 1998. "Decomposition Of Economic Relationships By Timescale Using Wavelets," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 49-71, March.
- Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists ," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, 04.
- Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
- Ramsey, J.B., 2002. "Wavelets in Economics and Finance: Past and Future," Working Papers 02-02, C.V. Starr Center for Applied Economics, New York University.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Granger, C. W. J., 1980. "Long memory relationships and the aggregation of dynamic models," Journal of Econometrics, Elsevier, vol. 14(2), pages 227-238, October.
When requesting a correction, please mention this item's handle: RePEc:hhs:lunewp:2008_018. 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: (David Edgerton)
If references are entirely missing, you can add them using this form.