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A necessary moment condition for the fractional functional central limit theorem
Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2010
We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...
Persistent link: https://www.econbiz.de/10008680679
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Discriminating between fractional integration and spurious long memory
Haldrup, Niels; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2014
Fractionally integrated processes have become a standard class of models to describe the long memory features of economic and financial time series data. However, it has been demonstrated in numerous studies that structural break processes and non-linear features can often be confused as being...
Persistent link: https://www.econbiz.de/10010851300
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Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2014
the proof much more challenging than usual. The neighborhood around the critical point where uniform convergence fails is …
Persistent link: https://www.econbiz.de/10010935035
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Local Whittle Analysis of Stationary Fractional Cointegration
Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus
We consider a local Whittle analysis of a stationary fractionally cointegrated model. A two step estimator equivalent to the local Whittle QMLE is proposed to jointly estimate the integration orders of the regressors, the integration order of the errors, and the cointegration vector. The...
Persistent link: https://www.econbiz.de/10005787527
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Local polynomial Whittle estimation covering non-stationary fractional processes
Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2008
This paper extends the local polynomial Whittle estimator of Andrews & Sun (2004) to fractionally integrated processes covering stationary and non-stationary regions. We utilize the notion of the extended discrete Fourier transform and periodogram to extend the local polynomial Whittle estimator...
Persistent link: https://www.econbiz.de/10005440065
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Estimation of Fractional Integration in the Presence of Data Noise
Haldrup, Niels; Nielsen, Morten Oe. - School of Economics and Management, University of Aarhus
The paper presents a comparative study on the performance of commonly used estimators of the fractional order of integration when data is contaminated by noise. In particular, measurement errors, additive outliers, temporary change outliers, and structural change outliers are addressed. It...
Persistent link: https://www.econbiz.de/10005198828
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Convergence Patterns in Latin America
Quiroga, Paola Andrea Barrientos - School of Economics and Management, University of Aarhus - 2010
Literature on convergence among Latin American countries is still scarce compared to other regions. Moreover, almost … none of the research connects convergence to the economic history of Latin America and the usual finding is one speed of … convergence. In this paper I analyze 32 countries and 108 years, more observations than any other study. This long span of data …
Persistent link: https://www.econbiz.de/10008641806
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The role of initial values in nonstationary fractional time series models
Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2012
We consider the nonstationary fractional model $\Delta^{d}X_{t}=\varepsilon _{t}$ with $\varepsilon_{t}$ i.i.d.$(0,\sigma^{2})$ and $d1/2$. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of $d$ conditional on initial values, and we...
Persistent link: https://www.econbiz.de/10010851220
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Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates
Han, Heejoon; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2012
This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE?s) of the GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as...
Persistent link: https://www.econbiz.de/10010851299
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Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2014
Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should cointegrate with a unit slope on futures prices, does not hold. However, these statistical methods are...
Persistent link: https://www.econbiz.de/10010886799