Residual log-periodogram inference for long-run relationships

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Show simple item record Hassler, U. Marmol, Francesc Velasco, Carlos 2009-06-05T14:17:42Z 2009-06-05T14:17:42Z 2006-01
dc.identifier.bibliographicCitation Journal of Econometrics. 2006, vol. 130, nº 1, p. 165-207
dc.identifier.issn 0304-4076
dc.description.abstract We assume that some consistent estimator of an equilibrium relation between non-stationary series integrated of order d(0.5,1.5) is used to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in order to estimate or test the degree of persistence δ of the equilibrium deviation ut. Provided converges fast enough, we describe simple semiparametric conditions around zero frequency that guarantee consistent estimation of δ. At the same time limiting normality is derived, which allows to construct approximate confidence intervals to test hypotheses on δ. This requires that d-δ>0.5 for superconsistent , so the residuals can be good proxies of true cointegrating errors. Our assumptions allow for stationary deviations with long memory, 0δ<0.5, as well as for non-stationary but transitory equilibrium errors, 0.5<δ<1. In particular, if xt contains several series we consider the joint estimation of d and δ. Wald statistics to test for parameter restrictions of the system have a limiting χ2 distribution. We also analyse the benefits of a pooled version of the estimate. The empirical applicability of our general cointegration test is investigated by means of Monte Carlo experiments and illustrated with a study of exchange rate dynamics.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Elsevier
dc.rights © Elsevier
dc.subject.other Fractional cointegration
dc.subject.other Semiparametric inference
dc.subject.other Limiting normality
dc.subject.other Long memory
dc.subject.other Non-stationarity
dc.subject.other Exchange rates
dc.title Residual log-periodogram inference for long-run relationships
dc.type article PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Economía
dc.identifier.doi 10.1016/j.jeconom.2005.03.001
dc.rights.accessRights openAccess
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