Arbeitspapier
Robust tests on fractional cointegration
Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are formulated for fractional cointegration in different situations. It turns out that the robust M–test reaches almost the same power as the maximum likelihood test under certain assumptions. In contrast to this, the power of the M–test is much higher than that of the ML–test if the examined time series is contaminated following the general replacement model.
- Language
-
Englisch
- Bibliographic citation
-
Series: Technical Report ; No. 2001,29
- Subject
-
Fractional Cointegration
Maximum Likelihood Estimation
Robustness
Long Memory
Kointegration
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Peters, Andrea
Sibbertsen, Philipp
- Event
-
Veröffentlichung
- (who)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
-
Dortmund
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Peters, Andrea
- Sibbertsen, Philipp
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2001
Other Objects (12)
Robust Tests on Fractional Cointegration
Robust multivariate local whittle estimation and spurious fractional cointegration
Fractional cointegration and tests of present value models
A Residual-Based LM Test for Fractional Cointegration
A comparison of semiparametric tests for fractional cointegration
Fractional Cointegration Rank Estimation
Residual-based tests for fractional cointegration: A Monte Carlo study
Numerical distribution functions of fractional unit root and cointegration tests
Cross-Sectional Correlation Robust Tests for Panel Cointegration
Fractional cointegration in US term spreads
Fractional cointegration and real exchange rates
Fractional cointegration of voting and non-voting shares
Robust Tests on Fractional Cointegration
Robust multivariate local whittle estimation and spurious fractional cointegration
Fractional cointegration and tests of present value models
A Residual-Based LM Test for Fractional Cointegration
A comparison of semiparametric tests for fractional cointegration
Fractional Cointegration Rank Estimation
Residual-based tests for fractional cointegration: A Monte Carlo study
Numerical distribution functions of fractional unit root and cointegration tests
Cross-Sectional Correlation Robust Tests for Panel Cointegration
Fractional cointegration in US term spreads
Fractional cointegration and real exchange rates
Fractional cointegration of voting and non-voting shares
Robust Tests on Fractional Cointegration
Robust multivariate local whittle estimation and spurious fractional cointegration
Fractional cointegration and tests of present value models
A Residual-Based LM Test for Fractional Cointegration
A comparison of semiparametric tests for fractional cointegration
Fractional Cointegration Rank Estimation
Residual-based tests for fractional cointegration: A Monte Carlo study
Numerical distribution functions of fractional unit root and cointegration tests
Cross-Sectional Correlation Robust Tests for Panel Cointegration
Fractional cointegration in US term spreads
Fractional cointegration and real exchange rates