 Estimation and Testing for Fractional CointegrationMarcel Aloy and Gilles de Truchis No 1215, AMSE Working Papers from Aix-Marseille School of Economics, France Abstract: Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first step is to estimate the long run coefficient (\beta) whereas the second step estimates the long memory parameter (d) of the cointegrating residuals. We suggest an adaptation of the maximum likelihood estimator of Hualde and Robinson (2007) to estimate jointly \beta and d, and possibly other nuisance parameters, for a wide range of integration orders when regressors are I(1). The finite sample properties of this estimator are compared with various popular estimation methods of parameters \beta (LSE, ADL, DOLS, FMLS, GLS, MLE, NBLS, FMNBLS), and d (LPE,LWE,LPM,FML) through a Monte Carlo experiment. We also investigate the crucial question of testing for fractional cointegration (that is, d Keywords: Fractional cointegration; Long memory; Monte Carlo experiment; Cointegration test. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:1215 Access Statistics for this paper More papers in AMSE Working Papers from Aix-Marseille School of Economics, France AMU-AMSE - 5-9 Boulevard Maurice Bourdet, CS 50498 - 13205 Marseille Cedex 1. Contact information at EDIRC. |
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