Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

Afonso Gonçalves da Silva and Peter Robinson

Econometric Reviews, 2008, vol. 27, issue 1-3, 268-297

Abstract: Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are invalid in this setting. Determination of asymptotic theory under more plausible assumptions can be complicated and lengthy. We discuss these issues and present a Monte Carlo study, showing that asymptotic theory should not necessarily be expected to provide a good approximation to finite-sample behavior.

Keywords: Fractional cointegration; Memory estimation; Stochastic volatility (search for similar items in EconPapers)
Date: 2008
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Working Paper: Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory (2006)
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DOI: 10.1080/07474930701873382

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