Fixed bandwidth inference for 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 | 2019-12-20T09:14:04Z | |
| dc.date.available | 2020-01-17T00:00:11Z | |
| dc.date.issued | 2019 | |
| dc.description.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 ordinary least squares or narrow band least squares 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. | en |
| dc.description.sponsorship | Javier Hualde’s research is supported by the Spanish Ministerio de Economía y Competitividad through project ECO2015-64330-P. | en |
| dc.embargo.lift | 2020-01-17 | |
| dc.embargo.terms | 2020-01-17 | |
| dc.format.extent | 40 p. | |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.doi | 10.1111/jtsa.12455 | |
| dc.identifier.issn | 0143-9782 | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/35940 | |
| dc.language.iso | eng | en |
| dc.publisher | Wiley | en |
| dc.relation.ispartof | Journal of Time Series Analysis, 40: 544–572 (2019) | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/MINECO//ECO2015-64330-P/ES/ | |
| dc.relation.publisherversion | https://doi.org/10.1111/jtsa.12455 | |
| dc.rights | © 2019 John Wiley & Sons Ltd. | en |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.subject | Fixed bandwidth inference | en |
| dc.subject | Fractional cointegration | en |
| dc.subject | Narrow band least squares | en |
| dc.subject | Generalized least squares | en |
| dc.title | Fixed bandwidth inference for fractional cointegration | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 4ebd996c-7fe3-4b2c-ae2e-670cc238ea7d | |
| relation.isAuthorOfPublication.latestForDiscovery | 4ebd996c-7fe3-4b2c-ae2e-670cc238ea7d |