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Semiparametric frequency domain analysis of fractional cointegration

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  • Marinucci, D
  • Robinson, Peter M.

Abstract

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Suggested Citation

  • Marinucci, D & Robinson, Peter M., 1998. "Semiparametric frequency domain analysis of fractional cointegration," LSE Research Online Documents on Economics 2258, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:2258
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    File URL: http://eprints.lse.ac.uk/2258/
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    Cited by:

    1. Gil-Alana, Luis A., 2003. "A Univariate Analysis of Unemployment and Inflation in Italy: A Fractionally Integrated Approach," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(2), November.
    2. Luis Gil-Alana, 2004. "The permanent income hypothesis: A new framework based on fractional integration and cointegration," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 10(3), pages 165-179, October.
    3. Lanfranco, Bruno A. & Ferraro, Bruno & Rostan, Francisco, 2015. "Beef Cattle in the MERCOSUR bloc: Integrated or Separate Markets?," 2015 Conference, August 9-14, 2015, Milan, Italy 212030, International Association of Agricultural Economists.
    4. Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
    5. D. Marinucci & P. M. Robinson, 2001. "Finite sample improvements in statistical inference with I(1) processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 431-444.
    6. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
    7. Guglielmo Maria Caporale & Luis Gil-Alana, 2002. "Unemployment and input prices: a fractional cointegration approach," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 347-351.
    8. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
    9. Brunetti, Celso & Gilbert, Christopher L., 2000. "Bivariate FIGARCH and fractional cointegration," Journal of Empirical Finance, Elsevier, vol. 7(5), pages 509-530, December.
    10. Claudio Morana, 2004. "Frequency domain principal components estimation of fractionally cointegrated processes," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 837-842.
    11. Andersson, Fredrik N. G., 2008. "Bandspectrum Cointegration," Working Papers 2008:18, Lund University, Department of Economics.
    12. Ørregaard Nielsen, Morten, 2004. "Local empirical spectral measure of multivariate processes with long range dependence," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 145-166, January.
    13. Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
    14. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    15. Mármol, Francesc, 1999. "How spurious features arise in case of fractional cointegration," DES - Working Papers. Statistics and Econometrics. WS 6349, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Luis A. Gil‐Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, September.
    17. Anna Conte & Chiara Oldani, 2006. "Money Demand: Theories And Estimation Methods. A Fractional Cointegration Application," Economia, Societa', e Istituzioni, Dipartimento di Economia e Finanza, LUISS Guido Carli, vol. 0(3).
    18. Morten Oerregaard Nielsen, "undated". "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers 2002-8, Department of Economics and Business Economics, Aarhus University.
    19. Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
    20. Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.

    More about this item

    Keywords

    Fractional cointegration; narrow-band frequency analysis;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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