Semiparametric fractional cointegration analysis

By D. Marinucci, P. Robinson. 2001

117 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/bb894c49d7dd99d9a952f4c079991965f59e77ca

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Citations in the corpus

Realized Beta: Persistence and Predictability (2004, background): “…for formal testing and inference procedures regarding (fractional) cointegration, as the fractional integration and cointegration estimators proposed by Geweke-Porter Hudak (1983), Robinson and Marinucci (2001) and Andrews and Guggenberger (2003) tend to behave quite erratically in small samples.”
Semiparametric inference in multivariate fractionally cointegrated systems (2010, unknown): “…found that m/n → 0 is necessary for consistency of the narrow band least squares estimate in case of stationary cointegration, whereas Robinson and Marinucci (2001, 2003) found that m/n → 0 reduces the bias of this estimate in nonstationary cointegration situations where the collective memory of…”
Semiparametric Estimation of Multivariate Fractional Cointegration (2003, unknown): “A Hausman-type test for fractional cointegrationwas proposed by Marinucci and Robinson (2001), who showed that it works well in simulations.”
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (2007, background): “Recent applications of fractional cointegration can be found, for example, in Dueker and Startz (1998), Brunetti and Gilbert (2000), Kim and Phillips (2001), Marinucci and Robinson (2001), and Henry and Zaffaroni (2003).”
MODELING AND FORECASTING REALIZED VOLATILITY (2003, unknown): “4 The direct modeling of observable volatility proxies was pioneered by Taylor (1986), who fit ARMA models to absolute and squared returns.”
Root-N-Consistent Estimation of Weak Fractional Cointegration (2006, methodology): “The two preliminary estimates of δ taken from Marinucci and Robinson (2001) were 0.89 (LP applied to first differences of x and adding back 1, with bandwidth 22) and 1.08 (SG applied to first differences of x and adding back 1, with bandwidth 40).”
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation (2007, methodology): “The methods described previously were combined by Marinucci and Robinson (2001) and Christensen and Nielsen (2006), who suggested conducting a fractional cointegration analysis in several steps.”
Semiparametric estimation of fractional cointegrating subspaces (2006, methodology): “Such a test was proposed by Marinucci and Robinson ([13], pages 236–237), following on from an idea originally suggested in a different context by Hausman [6], using a comparison of two estimates of d0, one based on a multivariate Gaussian semiparametric estimator (see [11]) using {yt }nt=1 with an ”
Fully modified narrow‐band least squares estimation of weak fractional cointegration (2011, unknown): “, Comte & Renault (1998), Bandi & Perron (2006), Christensen & Nielsen (2006), and Berger et al.”
Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (2008, unknown): “…r and X2 dimension p − r There is a large literature, based upon (26), aimed at developing (a semiparametric) estimation theory for fractional and cofractional processes, see for instance Robinson and Marinucci (2001), Chen and Hurvich (2003), or Nielsen and Shimotsu (2007) to mention a few.”