Estimation of long-run parameters in unbalanced cointegration
Fecha
2014Autor
Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
|
10.1016/j.jeconom.2013.10.014
Resumen
This paper analyses the asymptotic properties of nonlinear least squares estimators of the long run
parameters in a bivariate unbalanced cointegration framework. Unbalanced cointegration refers to the
situation where the integration orders of the observables are different, but their corresponding balanced
versions (with equal integration orders after filtering) are cointegrated in the usual se ...
[++]
This paper analyses the asymptotic properties of nonlinear least squares estimators of the long run
parameters in a bivariate unbalanced cointegration framework. Unbalanced cointegration refers to the
situation where the integration orders of the observables are different, but their corresponding balanced
versions (with equal integration orders after filtering) are cointegrated in the usual sense. Within this
setting, the long run linkage between the observables is driven by both the cointegrating parameter and
the difference between the integration orders of the observables, which we consider to be unknown.
Our results reveal three noticeable features. First, superconsistent (faster than √
n-consistent) estimators
of the difference between memory parameters are achievable. Next, the joint limiting distribution of
the estimators of both parameters is singular, and, finally, a modified version of the ‘‘Type II’’ fractional
Brownian motion arises in the limiting theory. A Monte Carlo experiment and the discussion of an
economic example are included. [--]
Materias
Unbalanced cointegration,
Long run parameters,
Nonlinear least squares,
Type II fractional Brownian motion
Editor
Elsevier
Publicado en
Journal of Econometrics 178 (2014) 761–778
Departamento
Universidad Pública de Navarra. Departamento de Economía /
Nafarroako Unibertsitate Publikoa. Ekonomia Saila
Versión del editor
Entidades Financiadoras
This research is supported by the Spanish Ministerio de Economía y Competitividad ref. ECO2011-24304.