Testing for time-varying fractional cointegration using the bootstrap approach

Simwaka, Kisu (2012): Testing for time-varying fractional cointegration using the bootstrap approach.

Abstract

Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. Although cointegration tests have been developed for the traditional cointegration framework, these tests do not take into account fractional cointegration. This paper proposes a bootstrap procedure to test for time-varying fractional cointegration.

• Item Type: MPRA Paper
• Language: English
• Keywords: Time-varying fractional cointegration, bootstrap procedure
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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