Semiparametric inference in multivariate fractionally cointegrated systems

Javier Hualde and P.M. Robinson

Journal of Econometrics, 2010, vol. 157, issue 2, 492-511

Abstract: A semiparametric multivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two estimates of the vector of cointegrating parameters [nu] are considered. One involves inverse spectral weighting and the other is unweighted but uses a spectral estimate at frequency zero. Both corresponding Wald statistics for testing linear restrictions on [nu] are shown to have a standard null [chi]2 limit distribution under quite general conditions. Notably, this outcome is irrespective of whether cointegrating relations are "strong" (when the difference between integration orders of observables and cointegrating errors exceeds 1/2), or "weak" (when that difference is less than 1/2), or when both cases are involved. Finite-sample properties are examined in a Monte Carlo study and an empirical example is presented.

Keywords: Fractional; cointegration; Semiparametric; model; Unknown; integration; orders; Standard; inference (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:157:y:2010:i:2:p:492-511

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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