Hualde, Javier and Iacone, Fabrizio orcid.org/0000-0002-2681-9036 (2019) Fixed bandwidth inference for fractional cointegration. Journal of Time Series Analysis. 40. 544–572. ISSN 1467-9892
Abstract
In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are constructed as ratios of weighted periodogram averages. These estimators offer improved limiting properties over those of more standard approaches like OLS or NBLS estimation. These advantages have been justified by means of traditional asymptotic theory and here we explore whether these improvements still hold when considering the alternative fixed bandwidth theory and, more importantly, whether this latter approach provides a more accurate approximation to the sampling distribution of the corresponding test statistics. This appears to be relevant, especially in view of the typical oversizing displayed by Wald statistics when confronted to the standard limiting theory. A Monte Carlo study of finite-sample behaviour is included.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2019 John Wiley & Sons Ltd. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details. |
Keywords: | Fixed bandwidth inference,fractional cointegration,generalized least squares,narrow band least squares |
Dates: |
|
Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 19 Mar 2019 17:10 |
Last Modified: | 12 Dec 2024 00:13 |
Published Version: | https://doi.org/10.1111/jtsa.12455 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1111/jtsa.12455 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:143828 |
Download
Filename: _RUUIFV5.pdf
Description: Fixed bandwidth inference for fractional cointegration