Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration

Hualde Bilbao, Javier; Iacone, Fabrizio

Publication:
Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration

dc.contributor.author	Hualde Bilbao, Javier
dc.contributor.author	Iacone, Fabrizio
dc.contributor.department	Economía	es_ES
dc.contributor.department	Ekonomia	eu
dc.date.accessioned	2020-09-16T11:21:50Z
dc.date.available	2020-09-16T11:21:50Z
dc.date.issued	2015
dc.description.abstract	In a standard cointegrating framework, Phillips (1991) introduced the weighted covariance (WC) estimator of cointegrating parameters. Later, Marinucci (2000) applied this estimator to fractional circumstances and, like Phillips (1991), analysed the so-called small-b asymptotic approximation to its sampling distribution. Recently, an alternative limiting theory (ﬁxed-b asymptotics) has been successfully employed to approximate sampling distributions. With the purpose of comparing both approaches, we derive here the ﬁxed-b limit of WC estimators in a fractional setting, ﬁlling also some gaps in the traditional (small-b) theory. We also provide some Monte Carlo evidence that suggests that the ﬁxed-b limit is more accurate.	en
dc.description.sponsorship	Javier Hualde’s research is supported by the Spanish Ministerio de Ciencia e Innovación through ECO2011-24304.	en
dc.format.extent	20 p.
dc.format.mimetype	application/pdf	en
dc.identifier.doi	10.1111/jtsa.12113
dc.identifier.issn	1467-9892
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/38136
dc.language.iso	eng	en
dc.publisher	Wiley	en
dc.relation.ispartof	Journal of Time Series Analysis, 2015, 36, 528-540	en
dc.relation.projectID	info:eu-repo/grantAgreement/MICINN//ECO2011-24304/ES/	en
dc.relation.publisherversion	https://doi.org/10.1111/jtsa.12113
dc.rights	© 2015 Wiley Publishing Ltd.	en
dc.rights.accessRights	info:eu-repo/semantics/openAccess
dc.subject	Fractional cointegration	en
dc.subject	First-stage methods	en
dc.subject	Small-b and ﬁxed-b asymptotic theory	en
dc.title	Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration	en
dc.type	info:eu-repo/semantics/article
dc.type.version	info:eu-repo/semantics/acceptedVersion	en
dc.type.version	Versión aceptada / Onetsi den bertsioa	es
dspace.entity.type	Publication
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