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• W2949792238 abstract "In a fractional cointegration setting we derive the fixed bandwidth limiting theory of a class of estimators of the cointegrating parameter which are constructed as ratios of weighted periodogram averages. These estimators offer improved limiting properties over those of more standard approaches like ordinary least squares or narrow band least squares estimation. These advantages have been justified by means of traditional asymptotic theory and here we explore whether these improvements still hold when considering the alternative fixed bandwidth theory and, more importantly, whether this latter approach provides a more accurate approximation to the sampling distribution of the corresponding test statistics. This appears to be relevant, especially in view of the typical oversizing displayed by Wald statistics when confronted to the standard limiting theory. A Monte Carlo study of finite‐sample behaviour is included." @default.
• W2949792238 created "2019-06-27" @default.
• W2949792238 creator A5024563731 @default.
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• W2949792238 date "2019-03-12" @default.
• W2949792238 modified "2023-09-24" @default.
• W2949792238 title "Fixed Bandwidth Inference for Fractional Cointegration" @default.
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• W2949792238 doi "https://doi.org/10.1111/jtsa.12455" @default.
• W2949792238 hasPublicationYear "2019" @default.
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