Semiparametric estimation of fractional cointegrating subspaces

DOI10.1214/009053606000000894zbMATH Open1114.62084arXiv0708.0185OpenAlexW3123545151MaRDI QIDQ2373586FDOQ2373586

Authors: Willa W. Chen, Clifford Hurvich 

Publication date: 12 July 2007

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: We consider a common-components model for multivariate fractional cointegration, in which the $sgeq1$ components have different memory parameters. The cointegrating rank may exceed 1. We decompose the true cointegrating vectors into orthogonal fractional cointegrating subspaces such that vectors from distinct subspaces yield cointegrating errors with distinct memory parameters. We estimate each cointegrating subspace separately, using appropriate sets of eigenvectors of an averaged periodogram matrix of tapered, differenced observations, based on the first $m$ Fourier frequencies, with $m$ fixed. The angle between the true and estimated cointegrating subspaces is $o_p(1)$. We use the cointegrating residuals corresponding to an estimated cointegrating vector to obtain a consistent and asymptotically normal estimate of the memory parameter for the given cointegrating subspace, using a univariate Gaussian semiparametric estimator with a bandwidth that tends to $infty$ more slowly than $n$. We use these estimates to test for fractional cointegration and to consistently identify the cointegrating subspaces.

Full work available at URL: https://arxiv.org/abs/0708.0185

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zbMATH Keywords

periodogram

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (28)

• Multiple local Whittle estimation in stationary systems
• Approximate state space modelling of unobserved fractional components
• Semiparametric fractional cointegration analysis
• Definitions and representations of multivariate long-range dependent time series
• A bivariate fractionally cointegrated relationship in the context of cyclical structures
• Identifying cointegration by eigenanalysis
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• A comparison of semiparametric tests for fractional cointegration
• Low-frequency robust cointegration testing
• Likelihood based testing for no fractional cointegration
• The averaged periodogram estimator for a power law in coherency
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
• Fractionally integrated curve time series with cointegration
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
• Portmanteau-type tests for unit-root and cointegration
• Parametric estimation of long memory in factor models
• Semiparametric Estimation of Multivariate Fractional Cointegration
• Fractional models for analysis of economic risks
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• Nonparametric cointegration analysis of fractional systems with unknown integration orders
• First stage estimation of fractional cointegration
• Nonstationary fractionally integrated functional time series
• Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
• A Wald test for the cointegration rank in nonstationary fractional systems
• Semiparametric inference in multivariate fractionally cointegrated systems
• Exact local Whittle estimation of fractionally cointegrated systems

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