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Fixed bandwidth inference for fractional cointegration
(Wiley, 2019)
info:eu-repo/semantics/article,
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 ...
Small‐b and fixed‐b asymptotics for weighted covariance estimation in fractional cointegration
(Wiley, 2015)
info:eu-repo/semantics/article,
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 ...