Arbeitspapier

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 choice of appropriate methodologies. Special attention is paid on empirically relevant issues such as assumptions about the form of the underlying process and the ability of the procedures to distinguish between short-run correlation and long-run equilibria. It is found that several approaches are severely oversized in presence of correlated short-run components and that the methods show different performance in terms of power when applied to common-component models instead of triangular systems.

Sprache
Englisch

Erschienen in
Series: Hannover Economic Papers (HEP) ; No. 651

Klassifikation
Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Thema
Long Memory
Fractional Cointegration
Semiparametric Estimation and Testing

Ereignis
Geistige Schöpfung
(wer)
Leschinski, Christian
Voges, Michelle
Sibbertsen, Philipp
Ereignis
Veröffentlichung
(wer)
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
(wo)
Hannover
(wann)
2019

Handle
Letzte Aktualisierung
20.09.2024, 08:25 MESZ

Datenpartner

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Leschinski, Christian
  • Voges, Michelle
  • Sibbertsen, Philipp
  • Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Entstanden

  • 2019

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