In a standard cointegrating framework, Phillips (1991) introduced the weighted covariance (WC) estimator of cointegrating parameters. Later, Marinucci (2000) applied this estimator to fractional circumstances and, like Phillips (1991), analysed the so-called small-b asymptotic approximation to its sampling distribution. Recently, an alternative limiting theory (fixed-b asymptotics) has been successfully employed to approximate sampling distributions. With the purpose of comparing both approaches, we derive here the fixed-b limit of WC estimators in a fractional setting, filling also some gaps in the traditional (small-b) theory. We also provide some Monte Carlo evidence that suggests that the fixed-b limit is more accurate.

Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration / J. Hualde, F. Iacone. - In: JOURNAL OF TIME SERIES ANALYSIS. - ISSN 0143-9782. - 36:4(2015 Jul), pp. 528-540.

Small-b and Fixed-b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration

F. Iacone
2015

Abstract

In a standard cointegrating framework, Phillips (1991) introduced the weighted covariance (WC) estimator of cointegrating parameters. Later, Marinucci (2000) applied this estimator to fractional circumstances and, like Phillips (1991), analysed the so-called small-b asymptotic approximation to its sampling distribution. Recently, an alternative limiting theory (fixed-b asymptotics) has been successfully employed to approximate sampling distributions. With the purpose of comparing both approaches, we derive here the fixed-b limit of WC estimators in a fractional setting, filling also some gaps in the traditional (small-b) theory. We also provide some Monte Carlo evidence that suggests that the fixed-b limit is more accurate.
first-stage methods; fractional cointegration; small-b and fixed-b asymptotic theory.JEL. C32; applied mathematics; statistics and probability; statistics, probability and uncertainty
Settore SECS-P/01 - Economia Politica
Settore SECS-P/05 - Econometria
Settore SECS-S/03 - Statistica Economica
lug-2015
Article (author)
File in questo prodotto:
File Dimensione Formato  
b-OLS final.pdf

accesso riservato

Tipologia: Publisher's version/PDF
Dimensione 323.07 kB
Formato Adobe PDF
323.07 kB Adobe PDF   Visualizza/Apri   Richiedi una copia
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/524740
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact