A new instrumental variable approach for estimation and testing in fractional cointegrating regressions

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dc.contributor.author Mármol, Francesc
dc.contributor.author Escribano, Álvaro
dc.contributor.author Aparicio, Felipe M.
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2010-01-08T09:00:20Z
dc.date.available 2010-01-08T09:00:20Z
dc.date.issued 1999-02
dc.identifier.uri http://hdl.handle.net/10016/6298
dc.description.abstract In this paper we propose an alternative characterization of the central notion of cointegration, exploiting the relationship between the autocorrelation and the crosscorrelation functions of the series. This characterization lead us to propose a new estimator of the co integrating parameter based on the instrumental variables methodology. The instrument is a delayed replica of the regressor variable in a conditional bivariate system of nonstationary fractionally integrated processes with a weakly stationary error correction term. We prove the consistency of this estimator and derive its limiting distribution. We also show that with a semi-parametric correction the estimator for the unit root case is median-unbiased, a mixture of normals and asymptotically efficient. As a consequence, standard inference can be conducted with this fully modified instrumental variable estimator of the co integrating parameter.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 99-12-03
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Short memory
dc.subject.other long memory
dc.subject.other cointegration
dc.subject.other instrumental variables
dc.subject.other fully modified OLS estimation
dc.title A new instrumental variable approach for estimation and testing in fractional cointegrating regressions
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
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