Determination of Cointegrating Rank in Fractional Systems

By Peter M. Robinson, Yoshihiro Yajima. 2002

263 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/80c06b11441a91dd29687b7b99e82ec4d2f8e7be

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In Economics and Econometrics

Citations in the corpus

Residual Log-Periodogram Inference for Long-Run-Relationships (2002, unknown): “Two recent papers provide asymptotic theory for determining the cointegration rank in a fractional context: Robinson and Yajima (2002) suggest a frequency domain approach designed for stationary processes, while Breitung and Hassler (2002) consider a time domain approach valid in the nonstationary…”
Breaks and persistency: macroeconomic causes of stock market volatility (2006, methodology): “Robinson and Yajima [85] have recently proposed an eigenvalue test to”
Semiparametric estimation of fractional cointegrating subspaces (2006, methodology): “This situation was covered by Robinson and Yajima [20], who considered methods for determining the cointegrating rank, and also by Chen and Hurvich [4], who focused on estimation of the space of cointegrating vectors.”
Semiparametric Estimation of Multivariate Fractional Cointegration (2003, unknown): “We follow the same lines as the proof of theorem 4 of Robinson and Yajima (2002).”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “The definition is identical to that in Hualde (2008), which is similar to that of Johansen (1996), and more general than those in Flores and Szafarz (1996) and Robinson and Yajima (2002) or Robinson and Marinucci (2003).”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, methodology): “We follow the model selection procedure proposed by Robinson and Yajima (2002) (c.f. Fujikoshi and Veitch, 1979; Fujikoshi, 1985; Gunderson and Muirhead, 1997) and estimate r by r̂ = arg min u=0,...,p−1L (u) , (16) where L (u) = v (n) (p− u)− p−uX a=1 δ̂a, for some v (n) > 0 which is assumed to…”
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “Equation (5) is the natural multivariate extension of (3), including some multivariate fractional ARIMA models as special cases, and was also considered in previous work, for example, Robinson (1995b), Lobato (1999), and Robinson and Yajima (2002).”
Spectral Analysis of Fractionally Cointegrated Systems (2004, methodology): “In particular, tests based on the eigenvalues of G could be employed, following Phillips & Ouliaris (1988) for the standard cointegration case and Robinson & Yajima (2002) for the d 1/2 case, and are currently under investigation by the author.”
Modelling structural breaks, long memory and stock market volatility: an overview (2005, methodology): “…(2003, 2004) proposes a two-step testing procedure of fractional cointegration in macroeconomic time series, based on the Robinson (1994c) test; Robinson and Yajima (2002) develop methods of investigating the existence and extent of cointegration in fractionally integrated systems; Velasco…”
Nonparametric cointegration analysis of fractional systems with unknown integration orders (2010, methodology): “An alternative semiparametric frequency domain approach has been studied by Robinson & Yajima (2002), who exploited the fact that if Xt is cointegrated the spectral density matrix of ut = (1 L)dXt has reduced rank at the origin, see also Phillips & Ouliaris (1988).”
Root-N-Consistent Estimation of Weak Fractional Cointegration (2006, unknown): “A natural starting point is to test the necessary requirement of equality of integration orders of xt and yt. The literature on asymptotic inference for multivariate fractional models is rather small, and some of it assumes lack of cointegration, but the approaches of Robinson and Yajima (2002) an”