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Root-N-Consistent Estimation Of Weakfractional Cointegration

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  • Javier Hualde
  • Peter M Robinson

Abstract

Empirical evidence has emerged of the possibility of fractional cointegration such that thegap, ß, between the integration order d of observable time series, and the integrationorder ? of cointegrating errors, is less than 0.5. This includes circumstances whenobservables are stationary or asymptotically stationary with long memory (so d 1/2, in particular=consistent - n andasymptotically normal estimation of the cointegrating vector ? is possible when ß

Suggested Citation

  • Javier Hualde & Peter M Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series 499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:499
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    References listed on IDEAS

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    1. Nuno Crato & Philip Rothman, 1994. "A reappraisal of parity reversion for UK real exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 1(9), pages 139-141.
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    3. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
    4. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    5. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-112, January.
    6. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
    7. Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006. "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, vol. 133(1), pages 343-371, July.
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    Cited by:

    1. P. M. Robinson & M. Gerolimetto, 2006. "Instrumental variables estimation of stationary and non-stationary cointegrating regressions," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 291-306, July.

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    More about this item

    Keywords

    Fractional cointegration; Parametric estimation; Asymptotic normality.;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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