The Distance between Rival Nonstationary Fractional Processes

Peter M Robinson

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

Abstract: Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete Fourier transforms under two regimes. We apply the results to deduce limit theory for estimates of memory parameters, including ones for cointegrated errors, with mention also of implications for estimates of cointegrating coefficients.

Keywords: Nonstationary fractional processes; memory parameter estimation; fractional cointegration; rates of convergence. (search for similar items in EconPapers)
Date: 2004-03
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:468

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