In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are con- structed as ratios of weighted periodogram averages. These estimators offer improved limiting properties over those of more standard approaches like OLS or NBLS estimation. These advantages have been justified by means of tra- ditional asymptotic theory and here we explore whether these improvements still hold when considering the alternative fixed bandwidth theory and, more importantly, whether this latter approach provides a more accurate approxi- mation to the sampling distribution of the corresponding test statistics. This appears to be relevant, especially in view of the typical oversizing displayed by Wald statistics when confronted to the standard limiting theory. A Monte Carlo study of finite-sample behaviour is included.

Fixed bandwidth inference for fractional cointegration / J. Hualde, F. Iacone. - In: JOURNAL OF TIME SERIES ANALYSIS. - ISSN 0143-9782. - 40:4(2019 Jul), pp. 544-572.

Fixed bandwidth inference for fractional cointegration

F. Iacone
Ultimo
2019-07

Abstract

In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are con- structed as ratios of weighted periodogram averages. These estimators offer improved limiting properties over those of more standard approaches like OLS or NBLS estimation. These advantages have been justified by means of tra- ditional asymptotic theory and here we explore whether these improvements still hold when considering the alternative fixed bandwidth theory and, more importantly, whether this latter approach provides a more accurate approxi- mation to the sampling distribution of the corresponding test statistics. This appears to be relevant, especially in view of the typical oversizing displayed by Wald statistics when confronted to the standard limiting theory. A Monte Carlo study of finite-sample behaviour is included.
Fixed bandwidth inference; fractional cointegration; generalized least squares;
Settore SECS-P/05 - Econometria
Settore SECS-S/03 - Statistica Economica
Settore SECS-P/01 - Economia Politica
2019
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2434/613541
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