ROOT-N-CONSISTENT ESTIMATION OF WEAKFRACTIONAL COINTEGRATION

Javier Hualde and A Robinson

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

Abstract: Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, ß, between the integration order d of observable time series, and the integration order ? of cointegrating errors, is less than 0.5. This includes circumstances when observables are stationary or asymptotically stationary with long memory (so d 1/2, in particular =consistent-n and asymptotically normal estimation of the cointegrating vector ? is possible when ß

Keywords: Fractional cointegration; Parametric estimation; Asymptotic normality. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2006-03
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Citations: View citations in EconPapers (2)

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Journal Article: Root-n-consistent estimation of weak fractional cointegration (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:/06/499

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