Semiparametric Estimation of Fractional Cointegration

Javier Hualde and Peter Robinson ()
Additional contact information
Peter Robinson: London School of Economics

No 07/06, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

Abstract: A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the cointegrating parameter ν are considered, one involving inverse spectral weighting and the other, unweighted statistics with a spectral estimate at frequency zero. We establish under quite general conditions the asymptotic distributional properties of the estimates of ν, both in case of "strong cointegration" (when the difference between integration orders of observables and cointegrating errors exceeds 1/2) and in case of "weak cointegration" (when that difference is less than 1/2), which includes the case of (asymptotically) stationary observables. Across both cases, the same Wald test statistic has the same standard null χ� limit distribution, irrespective of whether integration orders are known or estimated. The regularity conditions include unprimitive ones on the integration orders and spectral density estimates, but we check these under more primitive conditions on particular estimates. Finite-sample properties are examined in a Monte Carlo study.A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the cointegrating parameter ν are considered, one involving inverse spectral weighting and the other, unweighted statistics with a spectral estimate at frequency zero. We establish under quite general conditions the asymptotic distributional properties of the estimates of ν, both in case of "strong cointegration" (when the difference between integration orders of observables and cointegrating errors exceeds 1/2) and in case of "weak cointegration" (when that difference is less than 1/2), which includes the case of (asymptotically) stationary observables. Across both cases, the same Wald test statistic has the same standard null χ� limit distribution, irrespective of whether integration orders are known or estimated. The regularity conditions include unprimitive ones on the integration orders and spectral density estimates, but we check these under more primitive conditions on particular estimates. Finite-sample properties are examined in a Monte Carlo study.

JEL-codes: C32 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2006-06-01
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.unav.edu/documents/10174/6546776/1150993387_wp0706.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.unav.edu/documents/10174/6546776/1150993387_wp0706.pdf [301 Moved Permanently]--> https://www.unav.edu/documents/10174/6546776/1150993387_wp0706.pdf)

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: https://EconPapers.repec.org/RePEc:una:unccee:wp0706

Access Statistics for this paper

More papers in Faculty Working Papers from School of Economics and Business Administration, University of Navarra
Bibliographic data for series maintained by ().