Finite Sample Performance in CointegrationAnalysis of Nonlinear Time Series with LongMemory

Afonso Gonçalves da Silva and Peter M Robinson

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

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

Keywords: Fractional cointegration; memory estimation; stochastic volatility. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2006-04
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https://sticerd.lse.ac.uk/dps/em/em501.pdf (application/pdf)

Related works:
Journal Article: Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:501

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