Economics at your fingertips  

Bias Reduced Band Spectrum Least Squares in Fractional

Chang Sik Kim

No 798, Econometric Society 2004 Far Eastern Meetings from Econometric Society

Abstract: Band spectrum regression procedure in a bivariate model of fractional nonstationary cointegration is proposed. Both variables and cointegrating error in the system are assumed to be fractionally integrated processes. The orders of integrations are unknown, but no need to be pre-estimated. The proposed estimator can reduce bias by modifying a frequency domain regression, and it is just a simple least squares and easy to use. Unlike other available estimation procedures, the estimator is free from any preliminary estimation of short memory components and fractional parameter. It is also expected to be less volatile and more reliable, which can be confirmed by finite sample performances. A limited version of asymptotic theory will be developed and some simulation results will also be provided.

Keywords: Band spectrum regression (search for similar items in EconPapers)
JEL-codes: C10 (search for similar items in EconPapers)
Date: 2004-08-11
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Econometric Society 2004 Far Eastern Meetings from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

Page updated 2020-03-29
Handle: RePEc:ecm:feam04:798