Simwaka, Kisu (2012): Time varying fractional cointegration.
Download (53Kb) | Preview
According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. In this paper, we extend the fractional cointegration model in Johansen (2008) and propose a time-varying framework, in which the fractional cointegrating relationship varies over time. In this case, the Johansen (2008) fractional cointegration setup is treated as a special case of our model.
|Item Type:||MPRA Paper|
|Original Title:||Time varying fractional cointegration|
|English Title:||Time Varying Fractional Cointegration|
|Keywords:||Time varying Fractional cointegration|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General
|Depositing User:||Kisu Simwaka|
|Date Deposited:||17. Jun 2012 13:13|
|Last Modified:||14. Feb 2013 11:18|
Andrade, P., C. Bruneau and S. Gregoir (2005). Testing for the Cointegration Rank when some Cointegrating Directions are Changing. Journal of Econometrics 124, 269-310.
Baillie, R. T. (1996). Long Memory Processes and Fractional Integration in Econometrics, Journal of Econometrics, 73:5.59.
Bierens, H.J. (1997). Testing the Unit Root with Drift Hypothesis Against Nonlinear Trend Stationarity, with an Application to the US Price Level and Interest Rate. Journal of Econometrics 81, 29-64.
Bierens, H. J., and L. F. Martins (2010). Time Varying Cointegration. Econometric Theory 26, 1453–1490.
Dittmann (2004). Error correction models for fractionally cointegrated time series. Journal of Time Series Analysis 25, 27-32.
Doornik (1998). Approximations to the asymptotic distribution of cointegration tests. Journal of Economic Surveys 12, 573-593.
Granger, C.W.J., and G. Yoon (2002). Hidden Cointegration. Working Paper, Department of Economics, UCSD.
Granger, C.W.J., Lee, T.-H., (1989). Investigation of production, sales and inventory relationships using multi-cointegration and non-symmetric error correction models. Journal of Applied Econometrics 4, 145–159.
Granger, C.W.J, (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics 48, 213-228.
Engle, R.F., and C.W.J. Granger (1987). Cointegration and Error Correction:Representations, Estimation and Testing. Econometrica 55, 251-276.
Hungnes (2006). Trends and Breaks in Cointegrated VAR Models. Ph.D. Thesis, University of Oslo.
Johansen (2008). A Representation Theory for a Class of Vector Autoregression Models for Fractional Processes. Econometric Theory, 24, 651-676.
Lyhagen (1998). Maximum likelihood estimation of the multivariate fractional cointegrating model. Working paper, Stockholm School of Economics.
Park, W. R. (2012). What is Fractional Integration? The Review of Economics and Statistics, Vol. 81(4): 632-638.
Priestly M. B. (1965). Evolutionary spectral and non-stationary processes. J. R. Statist. Soc. B, 27, 204-237.
Saikkonen and Lutkepohl (2000). Testing for the cointegrating rank of a VAR process with structural shifts. Journal of Business and Economic Statistics 18, 451464.
Sims, Christopher A & Uhlig, Harald, (1991). Understanding Unit Rooters: A Helicopter Tour. Econometrica, vol. 59(6), pages 1591-99.