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A model free cointegration approach for pairs of I(d) variables

Miguel A. Arranz, Felipe M. Aparicio and Alvaro Escribano ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we propose several model free (non parametric) statistics to measure serial dependence that are useful to characterize the short and the long memory properties of series in the time and the frequency domain. Conditions on the joint memory properties of the series such as cointegration are introduced by means of these statistics. We show that the relationship between the non parametric concept of cointegration and the cross-covariance functions of the series, has a natural interpretation as an instrumental variable estimator. We show that its small sample behavior is better than the usual least squares estimator. Finally, from our characterization it is posibble to discriminate between fractional and integer cointegration

Keywords: Cointegration; Fractional; cointegration; Instrumental; variable; (IV); estimation (search for similar items in EconPapers)
Date: 2000-07
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