Bandspectrum Cointegration

Arbeitspapier

Economic theory commonly distinguishes between different time horizons such as the short run and the long run, each with its own relationships and its own dynamics. Engle (1974) proposed a bandspectrum regression to estimate such models. This paper proposes a new estimator for non-stationary panel data models, a bandspectrum cointegration estimator. The bandspectrum cointegration estimator uses first differenced data to avoid spurious results. Such estimates are, however, less efficient than estimates from a model with non-stationary data. Still, simulation results in the paper show that the bandspectrum cointegration estimator is more efficient than common time domain estimators, for example VECM and OLS levels estimators, if the data generating process contains more than one time horizon. The BSCE furthermore identifies all horizons in the data generating process and estimates an individual parameter vector for each, a property that neither time domain estimator possesses.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2008:18

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Statistical Simulation Methods: General ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
• Subject: Cointegration ; Bandspectrum Regression ; Simulations ; Wavelets ; Frequency domain

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Andersson, Fredrik N. G.
• Event: Veröffentlichung
• (who): Lund University, School of Economics and Management, Department of Economics
• (where): Lund
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/259963
• Last update: 10.03.2025, 11:44 AM CET