Cointegration in Fractional Systems with Unkown Integration Orders

Javier Hualde and Peter M. Robinson

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is completely known. However in moderate samples the normal approximation may not be very good, so we consider a refined, Edgeworth, approximation, for both a tapered estimate, and the original untapered one. For the tapered estimate, our higher-order correction involves two terms, one of order 1/vm (where m is the bandwidth number in the estimation), the other a bias term, which increases in m; depending on the relative magnitude of the terms, one or the other may dominate, or they may balance. For the untapered estimate we obtain an expansion in which, for m increasing fast enough, the correction consists only of a bias term. We discuss applications of our expansions to improved statistical inference and bandwidth choice. We assume Gaussianity, but in other respects our assumptions seem mild.

Keywords: Fractional cointegration; unknown integration orders; system estimates; mixed normal asymptotics. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mfd
Date: 2003-02
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Related works:
Working Paper: Cointegration in Fractional Systems with Unknown Integration Orders (2002)
Journal Article: Cointegration in Fractional Systems with Unknown Integration Orders (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:cep:stiecm:/2003/449

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