Tests on Fractional Cointegration Comparison of a Finite M— and ML—test on Fractional Cointegration

A. Peters () and Philipp Sibbertsen
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A. Peters: University of Erlangen—Nuremberg, Department of Medical Informatics, Biometry and Epidemiology

A chapter in Developments in Robust Statistics, 2003, pp 307-316 from Springer

Abstract: Summary Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M— and ML—test are formulated for fractional cointegration in different situations. It turns out that the robust M—test reaches almost the same power as the maximum likelihood test under certain assumptions. In contrast to this, the power of the M—test is much higher compared with the ML—test if the examined time series is contaminated following the general replacement model.

Keywords: Breakdown Point; Memory Parameter; Rejection Probability; Fractional Cointegration; Integrate Time Series (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-57338-5_27

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DOI: 10.1007/978-3-642-57338-5_27

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