Estimation of the cointegrating rank in fractional cointegration
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.
|Date of creation:||2012|
|Date of revision:|
|Publication status:||Published in|
|Contact details of provider:|| Postal: Campus de Arrosadía - 31006 Pamplona (Spain)|
Phone: 34 948 169340
Fax: 34 948 169 721
Web page: http://www.econ.unavarra.es
|Order Information:|| Postal: Papers are not sent in a centralized mode. You can download them with ftp, or contact the authors.|
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.:
- Willa Chen & Clifford Hurvich, 2004. "Semiparametric Estimation of Fractional Cointegrating Subspaces," Econometrics 0412007, EconWPA.
- Javier Hualde & Carlos Velasco, 2006.
"Distribution-free Tests of Fractional Cointegration,"
Faculty Working Papers
08/06, School of Economics and Business Administration, University of Navarra.
- Hualde, Javier & Velasco, Carlos, 2008. "Distribution-Free Tests Of Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 24(01), pages 216-255, February.
- 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.
- Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
- Javier Hualde & Peter Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," Faculty Working Papers 07/06, School of Economics and Business Administration, University of Navarra.
- Flores, Renato Jr. & Szafarz, Ariane, 1996.
"An enlarged definition of cointegration,"
Elsevier, vol. 50(2), pages 193-195, February.
- D Marinucci & Peter M Robinson, 2001. "Semiparametric Fractional Cointegration Analysis," STICERD - Econometrics Paper Series 420, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, May.
- Robinson, P.M., 2008. "Diagnostic testing for cointegration," Journal of Econometrics, Elsevier, vol. 143(1), pages 206-225, March.
When requesting a correction, please mention this item's handle: RePEc:nav:ecupna:1205. 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: (Javier Puértolas)
If references are entirely missing, you can add them using this form.