Details
| Original language | English |
|---|---|
| Pages (from-to) | 1997–2030 |
| Number of pages | 34 |
| Journal | Statistical Papers |
| Volume | 62 |
| Issue number | 4 |
| Early online date | 24 Mar 2020 |
| Publication status | Published - Aug 2021 |
Abstract
There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a detailed comparative Monte Carlo study to guide empirical researchers in their choice of appropriate methodologies. Special attention is paid on empirically relevant issues such as assumptions about the form of the underlying process and the ability of the procedures to distinguish between short-run correlation and long-run equilibria. It is found that several approaches are severely oversized in presence of correlated short-run components and that the methods show different performance in terms of power when applied to common-component models instead of triangular systems.
Keywords
- Fractional cointegration, Long memory, Semiparametric estimation and testing
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
- Decision Sciences(all)
- Statistics, Probability and Uncertainty
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In: Statistical Papers, Vol. 62, No. 4, 08.2021, p. 1997–2030.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - A comparison of semiparametric tests for fractional cointegration
AU - Leschinski, Christian
AU - Voges, Michelle
AU - Sibbertsen, Philipp
N1 - Funding Information: Open Access funding provided by Projekt DEAL.
PY - 2021/8
Y1 - 2021/8
N2 - There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a detailed comparative Monte Carlo study to guide empirical researchers in their choice of appropriate methodologies. Special attention is paid on empirically relevant issues such as assumptions about the form of the underlying process and the ability of the procedures to distinguish between short-run correlation and long-run equilibria. It is found that several approaches are severely oversized in presence of correlated short-run components and that the methods show different performance in terms of power when applied to common-component models instead of triangular systems.
AB - There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a detailed comparative Monte Carlo study to guide empirical researchers in their choice of appropriate methodologies. Special attention is paid on empirically relevant issues such as assumptions about the form of the underlying process and the ability of the procedures to distinguish between short-run correlation and long-run equilibria. It is found that several approaches are severely oversized in presence of correlated short-run components and that the methods show different performance in terms of power when applied to common-component models instead of triangular systems.
KW - Fractional cointegration
KW - Long memory
KW - Semiparametric estimation and testing
UR - http://www.scopus.com/inward/record.url?scp=85082178634&partnerID=8YFLogxK
U2 - 10.1007/s00362-020-01169-1
DO - 10.1007/s00362-020-01169-1
M3 - Article
AN - SCOPUS:85082178634
VL - 62
SP - 1997
EP - 2030
JO - Statistical Papers
JF - Statistical Papers
SN - 0932-5026
IS - 4
ER -