Semiparametric Fractional Cointegration Analysis
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چکیده
Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. Recent semiparametric methods of inference on memory parameters are developed to explore the possibility of fractional cointegration by means of testing the memory of observables and also new tests for the presence of fractional cointegration. These, along with narrow band estimates of the cointegrating vector, which can perform better than least squares, are employed in analyzing several empirical macroeconomic series. The finite sample properties of the procedures are explored via a Monte
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تاریخ انتشار 1999