Narrow search
Showing 1 - 10 of 4,414
Cover Image
Robust multivariate local whittle estimation and spurious fractional cointegration
Becker, Janis; Leschinski, Christian; Sibbertsen, Philipp - 2019
This paper derives a multivariate local Whittle estimator for the memory parameter of a possibly long memory process and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle based procedures requires a priori knowledge of the...
Persistent link: https://www.econbiz.de/10012105358
Cover Image
A multivariate test against spurious long memory
Sibbertsen, Philipp; Leschinski, Christian; Busch, Marie - In: Journal of econometrics 203 (2018) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10011974604
Cover Image
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … resulting likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility … process is possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local …
Persistent link: https://www.econbiz.de/10012026102
Cover Image
Integrated modified OLS estimation and fixed-b inference for cointegrating multivariate polynomial regressions
Vogelsang, Timothy J.; Wagner, Martin - 2024
This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...
Persistent link: https://www.econbiz.de/10014519282
Cover Image
Volatility transmission across financial markets : a semiparametric analysis
Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13
small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …
Persistent link: https://www.econbiz.de/10012322368
Cover Image
Semiparametrically Optimal Cointegration Test
Zhou, Bo - 2023
This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is considered an infinite-dimensional nuisance parameter. Our asymptotic analysis relies on Le Cam's theory of limit...
Persistent link: https://www.econbiz.de/10014347665
Cover Image
Likelihood Based Testing for No Fractional Cointegration
Lasak, Katarzyna - 2008
We consider two likelihood ratio tests, so-called maximum eigenvalue and trace tests, for the null of no cointegration when fractional cointegration is allowed under the alternative, which is a first step to generalize the so-called Johansen's procedure to the fractional cointegration case. The...
Persistent link: https://www.econbiz.de/10012723169
Cover Image
Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area
Chevillon, Guillaume - 2013
This paper considers approximating the nite sample null-distribution of a test statistic as its asymptotic distribution under a local alternative. We focus on the Likelihood Ratio test for the rank of cointegration and use nonlinearities that represent some nite sample distributional features....
Persistent link: https://www.econbiz.de/10013077563
Cover Image
Testing for the equality of integration orders of multiple series
Wang, Man; Chan, Ngai Hang - In: Econometrics : open access journal 4 (2016) 4, pp. 1-10
Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in...
Persistent link: https://www.econbiz.de/10011650498
Cover Image
Partial cointegrated vector autoregressive models with structural breaks in deterministic terms
Kurita, Takamitsu; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 4/42, pp. 1-35
This paper proposes a class of partial cointegrated models allowing for structural breaks in the deterministic terms. Moving-average representations of the models are given. It is then shown that, under the assumption of martingale difference innovations, the limit distributions of partial...
Persistent link: https://www.econbiz.de/10012160757