Estimating Fractional Cointegration in the Presence of Polynomial Trends

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

50 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7bb56573f94d4aca03f0af9fda9ac92b67bd87fc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Katsumi Shimotsu
2. Morten Ørregaard Nielsen
3. Clifford M. Hurvich
4. Bent Jesper Christensen
5. Willa W. Chen
6. Anindya Banerjee
7. G. Urga
8. Peter M. Robinson

In Finance

1. Katsumi Shimotsu
2. Morten Ørregaard Nielsen
3. Bent Jesper Christensen
4. Clifford M. Hurvich
5. Willa W. Chen
6. G. Urga
7. Anindya Banerjee
8. Peter M. Robinson

Citations in the corpus

• Semiparametric Estimation of Multivariate Fractional Cointegration (2003, unknown): “We note further that the use of xed averaging was crucial to Chen and Hurvich (2003) in obtaining (in some cases) a faster rate of convergence for NBLS than had been achieved previously by Robinson and Marinucci (2001).”
• Modelling structural breaks, long memory and stock market volatility: an overview (2005, background): “Most of the existing literature has not allowed for the presence of deterministic trends (Robinson and Marinucci, 2001) or even if trends are allowed (Robinson and Marinucci, 2000; Chen and Hurvich, 2003), in general the deterministic components ‘‘ corrupt’’ the stochastic components.”
• Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “In their narrow-band FDLS analysis of (19), Christensen and Nielsen (2006) found that the series seem to be stationary (d < 1/2) and the errors are close to I(0). Their estimates of β ranged from .84 to .89, which is well above the .3–.4 that are typical for OLS estimates of β; see Christensen and P”
• 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),…”
• Semiparametric estimation of fractional cointegrating subspaces (2006, methodology): “Chen and Hurvich [4] studied the properties of eigenvectors of an averaged periodogram matrix of differenced, tapered observations, averaging over the first m Fourier frequencies, where m is held fixed as the sample size grows.”
• 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.”