Show simple item record

2005-09-30Buch DOI: 10.18452/3426
Testing of Fractional Cointegration in Macroeconomic Time Series
dc.contributor.authorGil-Alaña, Luis A.
dc.date.accessioned2017-06-15T20:57:19Z
dc.date.available2017-06-15T20:57:19Z
dc.date.created2005-09-30
dc.date.issued2005-09-30
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4078
dc.description.abstractWe propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the individual series and then, testing the degree of integration of the residuals from the cointegrating relationship. Finite-sample critical values of the new tests are computed and Monte Carlo experiments are conducted to examine the size and the power properties of the tests in finite samples. An empirical application, using the same datasets as in Engle and Granger (1987) and Campbell and Shiller (1987) is also carried out at the end of the article.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectFractional cointegrationeng
dc.subjectLong memoryeng
dc.subject.ddc330 Wirtschaft
dc.titleTesting of Fractional Cointegration in Macroeconomic Time Series
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10048318
dc.identifier.doihttp://dx.doi.org/10.18452/3426
local.edoc.pages20
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2000
dc.identifier.zdb2135319-0
bua.series.nameSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
bua.series.issuenumber2000,105

Show simple item record