Consistent testing of cointegrating relationships

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dc.contributor.author Francesc, Marmol
dc.contributor.author Velasco, Carlos
dc.date.accessioned 2009-06-15T12:42:38Z
dc.date.available 2009-06-15T12:42:38Z
dc.date.issued 2004-11
dc.identifier.bibliographicCitation Econometrica. 2004, vol. 72, nº 6, p. 1809-1844
dc.identifier.issn 0012-9682
dc.identifier.uri http://hdl.handle.net/10016/4415
dc.description.abstract In this paper we investigate methods for testing the existence of a cointegration relationship among the components of a nonstationary fractionally integrated (NFI) vector time series. Our framework generalizes previous studies restricted to unit root integrated processes and permits simultaneous analysis of spurious and cointegrated NFI vectors. We propose a modified F-statistic, based on a particular studentization, which converges weakly under both hypotheses, despite the fact that OLS estimates are only consistent under cointegration. This statistic leads to a Wald-type test of cointegration when combined with a narrow band GLS-type estimate. Our semiparametric methodology allows consistent testing of the spurious regression hypothesis against the alternative of fractional cointegration without prior knowledge on the memory of the original series, their short run properties, the cointegrating vector, or the degree of cointegration. This semiparametric aspect of the modelization does not lead to an asymptotic loss of power, permitting the Wald statistic to diverge faster under the alternative of cointegration than when testing for a hypothesized cointegration vector. In our simulations we show that the method has comparable power to customary procedures under the unit root cointegration setup, and maintains good properties in a general framework where other methods may fail. We illustrate our method testing the cointegration hypothesis of nominal GNP and simple-sum (M1, M2, M3) monetary aggregates.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher The Econometric Society
dc.rights © The Econometric Society
dc.subject.other Cointegration
dc.subject.other Spurious regression
dc.subject.other Long memory
dc.subject.other Fractional processes
dc.subject.other Narrow-band frenquency analysis
dc.subject.other Wald test
dc.subject.other Semiparametric inference
dc.title Consistent testing of cointegrating relationships
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://www.jstor.org/stable/3598768
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
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