Root-n-consistent estimation of weak fractional cointegration

J. Hualde and Peter M. Robinson

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

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

Keywords: Fractional cointegration; Parametric estimation; Asymptotic normality (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2006-03
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Citations: View citations in EconPapers (2)

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