$A comparison of semiparametric tests for fractional cointegration$

A comparison of semiparametric tests for fractional cointegration

There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a detailed comparative Monte Carlo study to guide empirical researchers in their...

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Veröffentlicht in:	Statistical papers (Berlin, Germany) Germany), 2021-08, Vol.62 (4), p.1997-2030
Hauptverfasser:	Leschinski, Christian, Voges, Michelle, Sibbertsen, Philipp
Format:	Artikel
Sprache:	eng
Schlagworte:	Economic Theory/Quantitative Economics/Mathematical Methods Economics Equilibrium Finance Fractional cointegration Insurance Long memory Management Mathematics and Statistics Operations Research/Decision Theory Probability Theory and Stochastic Processes Regular Article Semiparametric estimation and testing Statistics Statistics for Business Time series
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