Semiparametric fractional cointegration analysis

D Marinucci and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related semiparametric methods of inference for testing the memory of observables and the presence of fractional cointegration. These procedures are employed in analysing empirical macroeconomic series; their usefulness and feasibility in finite samples is supported by results of a Monte Carlo experiment.

Keywords: Semiparametric analysis; fractional cointegration (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2001-07
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Citations: View citations in EconPapers (112)

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:2269

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