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Atribución-NoComercial-SinDerivadas 3.0 España
Abstract:
We propose tests of the null of spurious relationship against the alternative of
fractional cointegration among the components of a vector of fractionally integrated time series. Our test statistics have an asymptotic chi-square distribution
under the null aWe propose tests of the null of spurious relationship against the alternative of
fractional cointegration among the components of a vector of fractionally integrated time series. Our test statistics have an asymptotic chi-square distribution
under the null and rely on generalized least squares–type of corrections that control
for the short-run correlation of the weak dependent components of the fractionally
integrated processes. We emphasize corrections based on nonparametric
modelization of the innovations’ autocorrelation, relaxing important conditions that are standard in the literature and, in particular, being able to consider simultaneously (asymptotically) stationary or nonstationary processes. Relatively weak conditions on the corresponding short-run and memory parameter estimates are assumed. The new tests are consistent with a divergence rate that, in most of the cases, as we show in a simple situation, depends on the cointegration degree. Finite-sample properties of the tests are analyzed by means of a Monte Carlo
experiment.[+][-]