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.
Frequency domain bootstrap for the fractional cointegration regression
GEROLIMETTO, Margherita
2006-01-01
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.
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