A test for fractional cointegration using the sieve bootstrap
The concept of fractional cointegration (Cheung and Lai in J Bus Econ Stat 11:103–112, 1993) has been introduced to generalize traditional cointegration (Engle and Granger in Econometrica 55:251–276, 1987) to the long memory framework. In this work we propose a test for fractional cointegration with...
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| Veröffentlicht in: | Statistical methods & applications 2008-07, Vol.17 (3), p.373-391 |
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| creator | Gerolimetto, Margherita Procidano, Isabella |
| description | The concept of fractional cointegration (Cheung and Lai in J Bus Econ Stat 11:103–112, 1993) has been introduced to generalize traditional cointegration (Engle and Granger in Econometrica 55:251–276, 1987) to the long memory framework. In this work we propose a test for fractional cointegration with the sieve bootstrap and compare by simulations the performance of our proposal with other semiparametric methods existing in literature: the three steps technique of Marinucci and Robinson (J Econom 105:225–247, 2001) and the procedure to determine the fractional cointegration rank of Robinson and Yajima (J Econom 106:217–241, 2002). |
| doi_str_mv | 10.1007/s10260-007-0065-5 |
| format | Article |
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| subjects | Bootstrap method Chemistry and Earth Sciences Cointegration analysis Computer Science Economics Finance Foreign exchange rates Fractional cointegration Health Sciences Humanities Insurance Law Long memory Management Mathematics and Statistics Medicine Original Article Physics Sieve bootstrap Statistical Theory and Methods Statistics Statistics for Business Statistics for Engineering Statistics for Life Sciences Statistics for Social Sciences Studies Time series |
| title | A test for fractional cointegration using the sieve bootstrap |
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