No-cointegration test based on fractional differencing: Some Monte Carlo results

Journal of Statistical Planning and Inference

Volumn 80, Issue 1, 1999, Pages 257-267

  Tse, Y K ^a   Anh, V V ^b   Tieng, Q ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b NONE

Author keywords

Fractional differencing; Geweke Porter Hudak regression; Monte Carlo method; No cointegration test

Indexed keywords

EID: 0033176811     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0378-3758(98)00253-5     Document Type: Article

References (16)

1. Agiakloglou, C., Newbold, P., Wohar, M., 1993. Bias in an estimator of the fractional difference parameter. J. Time Ser. Anal. 14, 235-246.
2. Booth, G.G., Tse, Y., 1995. Long memory in interest rate futures markets: a fractional cointegration analysis. J. Futures Markets. 15, 573-584.
3. Cheung, Y.W., 1993. Long memory in foreign-exchange rates. J. Business Econom. Statist. 11, 93-101.
4. Cheung, Y.W., Lai, K.S., 1993. A fractional cointegration analysis of purchasing power parity. J. Business Econom. Statist. 11, 103-112.
5. Crato, N., Rothman, P., 1994. Fractional integration analysis of long-run behaviour for US macroeconomic time series. Econom. Lett. 45, 287-291.
6. Cuthbertson, K., Hall, S.G., Taylor, M.P., 1992. Applied Econometric Techniques. Philip Allan, Hertfordshire.
7. Dickey, D.A., Fuller, W.A., 1979. Distribution of estimators for autoregressive time series with a unit root. J. Amer. Statist. Assoc. 84, 427-431.
8. Engle, R.F., Granger, C.W.J., 1987. Cointegration and error correction: representation, estimation and testing. Econometrica 55, 251-276.
9. Geweke, J., Porter-Hudak, S., 1983. The estimation and application of long memory time series models. J. Time Ser. Anal. 4, 221-238.
10. Hassler, U., 1993. Regression of spectral estimators with fractionally integrated time series. J. Time Ser. Anal. 14, 369-380.
11. Hurvich, C.M., Ray, B.K., 1995. Estimation of the memory parameter for nonstationary or noninvertible fractionally integrated processes. J. Time Ser. Anal. 16, 17-41.
12. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., Shin, Y., 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root?.. J. Econom. 54, 159-178.
13. Masih, R., Masih, A.M.M., 1995. A fractional cointegration approach to empirical tests of PPP: new evidence and methodological implications from an application to the Taiwan/US dollar relationship. Weltwirtschaftliches Arch. 131, 673-693.
14. Nelson, C.R., Plosser, C.I., 1982. Trends and random walks in macroeconomic time series: some evidence and implications. J. Monetary Econom. 10, 139-162.
15. Reisen, V., 1994. Estimation of the fractional difference parameter in the ARIMA(p,d,q) model using the smoothed periodogram. J. Time Ser. Anal. 15, 335-350.
16. Sowell, F.B., 1992. Modelling long-run behaviour with the fractional ARIMA model. J. Monetary Econom. 29, 277-302.