In this paper a bootstrap approach in the frequency domain is proposed to compute the empirical distribution of the Narrow Band Least Squares Estimator [Robinson, P.M., 1994. Semiparametric analysis of long memory time series. The Annals of Statistics 22, 515–539.] of the fractional cointegration parameter. A Monte Carlo experiment illustrates the finite sample performance.
Titolo: | Frequency domain bootstrap for the fractional cointegration regression |
Autori: | |
Data di pubblicazione: | 2006 |
Rivista: | |
Abstract: | In this paper a bootstrap approach in the frequency domain is proposed to compute the empirical distribution of the Narrow Band Least Squares Estimator [Robinson, P.M., 1994. Semiparametric analysis of long memory time series. The Annals of Statistics 22, 515–539.] of the fractional cointegration parameter. A Monte Carlo experiment illustrates the finite sample performance. |
Handle: | http://hdl.handle.net/10278/26800 |
Appare nelle tipologie: | 2.1 Articolo su rivista |
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.