IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb475/199935.html
   My bibliography  Save this paper

Consequences of fractionally integrated regressors

Author

Listed:
  • Ploberger, Werner

Abstract

This paper analyzes linear models. It investigates the difference between the sum of squares of the residuals and the sum of squares of the prediction errors when the parameter is estimated consecutively. In case the regressors are “fractionally integrated” (in a very broad sense) it is shown that the asymptotic behavior of this difference is determined by the order of integration of the regressors.

Suggested Citation

  • Ploberger, Werner, 1999. "Consequences of fractionally integrated regressors," Technical Reports 1999,35, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:199935
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/77323/2/1999-35.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606, November.
    2. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Federico Di Pace & Matthias Hertweck, 2019. "Labor Market Frictions, Monetary Policy, and Durable Goods," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 32, pages 274-304, April.
    2. repec:wyi:journl:002087 is not listed on IDEAS
    3. Michelacci, Claudio & Zaffaroni, Paolo, 2000. "(Fractional) beta convergence," Journal of Monetary Economics, Elsevier, vol. 45(1), pages 129-153, February.
    4. van Soest, A.H.O. & Das, J.W.M., 2000. "Family Labor Supply and Proposed Tax Reforms in the Netherlands," Discussion Paper 2000-20, Tilburg University, Center for Economic Research.
    5. Juan M. Contreras & Sven H. Sinclair, 2008. "The Labor Supply Response in Macroeconomic Models: Working Paper 2008-07," Working Papers 20141, Congressional Budget Office.
    6. Victor Chernozhukov & Iván Fernández‐Val & Blaise Melly, 2013. "Inference on Counterfactual Distributions," Econometrica, Econometric Society, vol. 81(6), pages 2205-2268, November.
    7. Manuel Arellano & Stéphane Bonhomme, 2017. "Quantile Selection Models With an Application to Understanding Changes in Wage Inequality," Econometrica, Econometric Society, vol. 85, pages 1-28, January.
    8. Antonella Trigari, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 304, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    9. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
    10. Stefano DellaVigna, 2009. "Psychology and Economics: Evidence from the Field," Journal of Economic Literature, American Economic Association, vol. 47(2), pages 315-372, June.
    11. KAWAGUCHI Daiji & NAITO Hisahiro, 2006. "The Bound Estimate of the Gender Wage Convergence under Employment Compositional Change," ESRI Discussion paper series 161, Economic and Social Research Institute (ESRI).
    12. German Blanco & Carlos A. Flores & Alfonso Flores-Lagunes, 2013. "Bounds on Average and Quantile Treatment Effects of Job Corps Training on Wages," Journal of Human Resources, University of Wisconsin Press, vol. 48(3), pages 659-701.
    13. V L Miguéis & D F Benoit & D Van den Poel, 2013. "Enhanced decision support in credit scoring using Bayesian binary quantile regression," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 64(9), pages 1374-1383, September.
    14. Breunig, Christoph & Mammen, Enno & Simoni, Anna, 2018. "Nonparametric estimation in case of endogenous selection," Journal of Econometrics, Elsevier, vol. 202(2), pages 268-285.
    15. Lechner, Michael & Vazquez-Alvarez, Rosalia, 2003. "The Effect of Disability on Labour Market Outcomes in Germany: Evidence from Matching," IZA Discussion Papers 967, Institute of Labor Economics (IZA).
    16. 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.
    17. Saul Lach & José L. Moraga†González, 2017. "Asymmetric Price Effects of Competition," Journal of Industrial Economics, Wiley Blackwell, vol. 65(4), pages 767-803, December.
    18. Casares, Miguel, 2013. "On firm-level, industry-level, and aggregate employment fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2963-2978.
    19. Miguel A. Delgado & Javier Hidalgo & Carlos Velasco, 2005. "Distribution Free Goodness-of-Fit Tests for Linear Processes," STICERD - Econometrics Paper Series 482, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    20. Javier Hidalgo, 2003. "A Bootstrap Causality Test for Covariance Stationary Processes," STICERD - Econometrics Paper Series 462, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    21. Amini, Chiara & Commander, Simon, 2011. "Educational Scores: How Does Russia Fare?," IZA Discussion Papers 6033, Institute of Labor Economics (IZA).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:199935. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/isdorde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.