본문 바로가기
KERD
논문KCI 등재

BAND SPECTRUM LEAST SQUARES IN FRACTIONAL COINTEGRATION MODELS WITH UNKNOWN FRACTIONAL INTEGRATION ORDERS

김창식
한국경제학회 (The Korean Economic Association)|2006.06|The Korean Economic Review|제22권 제1호|pp. 21-54

2

조회

0

다운로드

0

인용

0

참고문헌

주제분류경제학

초록

Abstract

Band spectrum regression procedure in a bivariate model of fractional nonstationary cointegration is proposed. Both variables and cointegrating error in the system are assumed to be fractionally integrated processes. The proposed estimator can reduce bias by modifying a frequency domain regression, and it is just a simple least squares and easy to use. Unlike other available estimation procedures, the estimator is free from any preliminary estimation of short memory components and fractional parameter. It is also expected to be less volatile and more reliable, which can be confirmed by finite sample performances. A limited version of asymptotic theory will be developed and some simulation results will also be provided.

참고문헌 (27)

  1. Beran, "Statistics for Long-Memory Processes" (1993)
  2. Chan, N.H, "Inference For Long-Memory Processes with Application to Fractional Unit Root Autoregression", 23, pp.1662~1683 (1995)
  3. Davis, "Tests for Hurst Effects", pp.95~102 (1987)
  4. Davison, J, "The Functional Central Limit Theorem and Convergence to Stochastic Integral", 16, pp.643~666 (2002)
  5. Dolado, J.J, "Efficient Estimation of Cointegrating Relationships among Higher Order and Fractionally Integrated Process", (9617) (1996), Documento de Trabafo
  6. "The Typical Spectral Shape of an Economic Variable", eco(metrica), pp.150~161 (1966)
  7. "An Introduction to Long Memory Time Series Models and Fractional Differencing Journal of Time Series Analysis", pp.15~39 (1980)
  8. "Regression for time series" (1963)
  9. "On Asymptotic Inference in Cointegrated Time Series with Fractionally Integrated Errors", 15, pp.583~621 (1999)
  10. "Correction to On Asymptotic Inference in Cointegrated Time Series with Fractionally Integrated Errors" (2001), University of Michigan
  11. "Statistical Analysis of Cointegrating Vectors Journal of Economic Dynamics and Control", pp.231~254 (1988)
  12. "Fully Modified Estimation of Fractional Cointegration Models" (2002), Yale University
  13. "Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations" (1998), STICERD
  14. "Alternative Forms of Fractional Brownian Motion", (80), pp.111~122 (1999)
  15. "Finite Sample Improvements in Statistical Inference with I (1) Processes", pp.431~444 (2001)
  16. "Semiparametric Fractional Cointegration Analysis", (105), pp.225~247 (2001)
  17. "Local Whittle Analysis of Stationary Fractional Cointegration" (2003), University of Aarhus
  18. "Reflections on Econometric Methodology", pp.344~359 (1988)
  19. "Optimal Inference in Cointegrated System", eco(metrica), pp.283~306 (1991)
  20. "Spectral Regression for Cointegrated Time Series In Nonparametric and semiparametric methods in econometrics and statistics", pp.413~435 (1991), Cambridge Univ Press
  21. "Error Correction and Long-Run Equilibrium in Continuous Time", eco(metrica), pp.967~980 (1991)
  22. "Discrete Fourier Transforms of Fractional Processes", (1243) (1999), Yale University
  23. "Log Periodogram Regression of Time Series with Long Memory Dependence", 23, pp.1048~1072 (1995)
  24. "Gaussian Semiparametric Estimation of Long Range Dependence", 23, pp.1630~1661 (1995)
  25. "Cointegration in Fractional Systems with Unknown Integration Orders", 71, pp.1727~1766 (2003)
  26. "Semiparametric Frequency Domain Analysis of Fractional Cointegration", pp.334~373 (2003), Oxford Univ Press
  27. "The Nonstationary Fractional Unit Root", 15, pp.549~582 (1999)

관련 논문AI추천

Log Periodogram Estimation with Nonstationary Process김창식한국계량경제학회 · 계량경제학보2008 · 제19권 제3호Tests of the Null of Cointegration Using Integrated and Modified OLS Residuals조철근한국계량경제학회 · 계량경제학보2024 · 제35권 제4호Notes on the Effects of Over-Differencing on the Long-Run Relationship between Two Time Series Processes이진한국계량경제학회 · 계량경제학보2025 · 제36권 제4호Measuring the Length of Period for the Long-Run Equilibrium in a Cointegration Relation김재영경제연구소 · Seoul Journal of Economics2003 · 제16권 제1호Note on Testing for Linear Trends in Cointegrating Regressions조철근한국계량경제학회 · 계량경제학보2022 · 제33권 제4호Unstable Multiple Cointegration Relations in the Term Structure of Interest RatesHeejoonKang경제연구소 · Seoul Journal of Economics2002 · 제15권 제1호

이 간행물의 다른 논문 (8건)

NETWORK BENEFIT FUNCTION AND INDIRECT NETWORK EXTERNALITIES박상인pp. 5-19COMPETITIVE EQUILIBRIUM WITH SHORT-SELLING AND NONTRANSITIVE PREFERENCES원동철, 한광석pp. 55-67ON THE CONVERGENCE OF LOGIT EQUILIBRIUM IN ORDER STATISTIC GAMES이강오pp. 69-82FI-BREAK MODEL OF US INFLATION RATE: LONG-MEMORY, LEVEL SHIFTS, OR BOTH?Philop Hans Franses, 형남원pp. 83-97POLITICAL OPTIMAL TAX POLICY MAKING IN A PROBABILISTIC VOTING FRAMEWORK이성규pp. 99-130
원문 보기