Semiparametric Estimation of Multivariate Fractional Cointegration

By Willa W. Chen, Clifford M. Hurvich. 2003

53 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/3d76c888a3416c4e977f5e590e3f61d130157741

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Citations in the corpus

Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “…semiparametric procedures for estimating the cointegration rank, r, from data were explored by Robinson and Yajima (2002) in the stationary fractional cointegration case also considered here and by, for example, Chen and Hurvich (2003b) and Nielsen and Shimotsu (2005) in the nonstationary case.”
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008, unknown): “The model was applied by Davidson (2002) and Lasak (2008) derives a likelihood ratio test for the hypothesis r = 0 when d = 1 and finds the asymptotic distribution. Most authors consider the simpler regression type model, which explicitly models the order of cofractionality, X1t = ′X2t + −d+b + u1t ”
Fully modified narrow‐band least squares estimation of weak fractional cointegration (2011, unknown): “In contrast, Robinson & Marinucci (2003) consider several cases where the regressors are nonstationary fractionally integrated and the limiting distributions for the NBLS estimator involve fractional Brownian motion, and Chen & Hurvich (2003) add deterministic trends.”
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (2006, background): “The residuals are of lower order of fractional integration than the volatility 3The rationale for this has been provided by Robinson & Marinucci (2001) and Chen & Hurvich (2003a, 2003b), who showed that a small (finite) m is sufficient for consistency and produces much less bias.”
Semiparametric estimation of fractional cointegrating subspaces (2006, methodology): “In the case k ≥ 1, the upper bound in Lemma 2 strengthens Lemma 4 of [4].”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “Primitive conditions for (18), (19) and for Assumptions 5 and 5 are presented by Hualde and Robinson (2006), and further relevant discussions can be found in Chen and Hurvich (2006) and Robinson (2005), but we briefly discuss how they might be satisfied, and how one might proceed in practice. Regard”
Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, methodology): “There is also no need to specify a bandwidth as in the nonparametric approach of Bierens (1997) or the recent semiparametric frequency domain approaches of Robinson & Yajima (2002), Chen & Hurvich (2003), and Nielsen & Shimotsu (2006).”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, background): “…of fractional integration and cointegration, but theoretical analyses of fractional cointegration are emerging, e.g. Breitung and Hassler (2002), Chen and Hurvich (2003a, 2003b, 2004), Robinson and Hualde (2003), Robinson and Marinucci (2003), Velasco (2003a, 2003b), Dolado and Marmol (2004),…”
Exact local Whittle estimation of fractionally cointegrated systems (2012, methodology): “We achieve this by a two-step procedure; a tapered and trimmed version of the estimator by Robinson (2008) is used as the first-stage estimator, and the second-stage estimator uses the exact local Whittle (ELW) approach of Shimotsu and Phillips (2005). The second-stage ELW estimator uses neither tap”