Exact local Whittle estimation of fractionally cointegrated systems
Exact local Whittle estimation of fractionally cointegrated systems
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DOI：
10.1016/j.jeconom.2012.01.028
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发表时间：
2012-08-01
影响因子：
6.3
通讯作者：
Shimotsu, Katsumi
中科院分区：
文献类型：
--
作者：
Shimotsu, Katsumi
研究了二元分数协整系统的半参数估计问题。我们提出了一个两步的过程，适应（渐近）平稳（δ <1/2）和非平稳（δ>= 1/2）的随机趋势和/或平衡误差。罗宾逊（2008）的局部Whittle估计量的锥形版本用作第一阶段估计量，第二阶段估计量采用Shimotsu和菲利普斯（2005）的精确局部Whittle方法。给出了两步估计的相合性和渐近分布。记忆参数的估计在平稳和非平稳情况下具有相同的高斯渐近分布。记忆参数之间的差异影响协整向量估计的收敛速度和渐近分布。此外，当记忆参数之间的差小于1/2时，估计量具有高斯渐近分布。(C)2012爱思唯尔有限公司版权所有。
Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (delta < 1/2) and nonstationary (delta >= 1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle estimator of Robinson (2008) is used as the first-stage estimator, and the second-stage estimator employs the exact local Whittle approach of Shimotsu and Phillips (2005). The consistency and asymptotic distribution of the two-step estimator are derived. The estimator of the memory parameters has the same Gaussian asymptotic distribution in both the stationary and the nonstationary case. The convergence rate and the asymptotic distribution of the estimator of the cointegrating vector are affected by the difference between the memory parameters. Further, the estimator has a Gaussian asymptotic distribution when the difference between the memory parameters is less than 1/2. (C) 2012 Elsevier B.V. All rights reserved.