Autori
Marinucci, Domenico
Robinson, P. M.

Titolo
Semiparametric fractional cointegration analysis
Periodico
Università degli Studi di Roma "La Sapienza" - Dipartimento di Studi Geoeconomici, Linguistici, Statistici e Storici per l'Analisi regionale. Working papers
Anno: 1999 - Fascicolo: 11 - Pagina iniziale: 1 - Pagina finale: 45

fractional cointegration is viewed from a semiparametric viewpoint as a narraw-band phenomenon at frequency zero. Recent semiparametric methods of inference on memory parameters are developed to explore the possibility of fractional cointegration by means of testing the memory of observables and also new tests for the presence of fractional cointegration. These, along with narrow band estimates of the cointegrating vector, which can perform better than least squares, are employed in analyzing several empirical macroeconomic time series. The finite sample properties of the procedures are explored via a Monte Carlo experiment




Esportazione dati in Refworks (solo per utenti abilitati)