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The Estimation and Testing of the Cointegration Order Based on the Frequency Domain

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  • Igor Viveiros Melo Souza
  • Valderio Anselmo Reisen
  • Glaura da Conceição Franco
  • Pascal Bondon

Abstract

This article proposes a method to estimate the degree of cointegration in bivariate series and suggests a test statistic for testing noncointegration based on the determinant of the spectral density matrix for the frequencies close to zero. In the study, series are assumed to be I(d), 0

Suggested Citation

  • Igor Viveiros Melo Souza & Valderio Anselmo Reisen & Glaura da Conceição Franco & Pascal Bondon, 2018. "The Estimation and Testing of the Cointegration Order Based on the Frequency Domain," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 695-704, October.
    • Handle: RePEc:taf:jnlbes:v:36:y:2018:i:4:p:695-704
    DOI: 10.1080/07350015.2016.1251442
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    Cited by:

    1. Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "A comparison of semiparametric tests for fractional cointegration," Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
    3. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    4. Janis Becker & Christian Leschinski, 2021. "Estimating the volatility of asset pricing factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 269-278, March.
    5. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.
    6. Theoplasti Kolaiti & Mwasi Mboya & Philipp Sibbertsen, 2020. "Volatility Transmission across Financial Markets: A Semiparametric Analysis," JRFM, MDPI, vol. 13(8), pages 1-13, July.

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