Residual-based tests for fractional cointegration: A Monte Carlo study

Journal of Time Series Analysis

Volumn 21, Issue 6, 2000, Pages 615-647

  Dittmann, Ingolf ^a  

^a TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Augmented Dickey Fuller test; Fractional cointegration; Geweke Porter Hudak test; Modified rescaled range test; Monte Carlo experiment; Phillips Perron test

Indexed keywords

EID: 0040952907     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00201     Document Type: Article

References (30)

1. ANDREWS, D. W. K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-58.
2. BAILLIE, R. T. and BOLLERSLEV, T. (1994) Cointegration, fractional cointegration and exchange rate dynamics. Journal of Finance 49, 737-45.
3. BOOTH, G. G. and TSE, Y. (1995) Long memory in interest rate futures markets: A fractional cointegration analysis. The Journal of Futures Markets 5, 573-84.
4. BROCKWELL, P. J. and DAVIS, R. A. (1991) Time Series: Theory and Methods. New York: Springer Verlag.
5. CHEUNG, Y.-W. (1991) Tests for fractional integration: A Monte Carlo investigation. Journal of Time Series Analysis 14, 329-45.
6. _ and LAI, K. S. (1993) A fractional cointegration analysis of purchasing power parity. Journal of Business & Economic Statistics 11, 103-12.
7. _ and _ (1997) Bandwidth selection, prewhitening, and the power of the Phillips-Perron test. Econometric Theory 13, 679-91.
8. DIEBOLD, F. X. and RUDEBUSCH, G. D. (1991) On the power of Dickey-Fuller tests against fractional alternatives. Economics Letters 35, 155-60.
9. DITTMANN, I. (1998) Residual-based tests for fractional cointegration: A Monte Carlo study. University of Dortmund SFB 475 Technical Report 9/1998.
10. _ (2000) Fractional cointegration of voting and non-voting shares. Applied Financial Economics, forthcoming.
11. DUEKER, M. and STARTZ, R. (1997) Maximum likelihood estimation of fractional cointegration with an application to U.S. and Canadian bond rates. Federal Reserve Bank of St. Louis working paper, 94-027C.
12. FULLER, W. A. (1996) Introduction to Statistical Time Series. New York: John Wiley & Sons.
13. GEWEKE, J. and PORTER-HUDAK, S. (1983) The estimation and application of long memory time series models. Journal of Time Series Analysis 4, 221-38.
14. HAMILTON, J. D. (1994) Time Series Analysis. Princeton University Press.
15. HANSEN, B. E. (1992) Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends. Journal of Econometrics 53, 87-121.
16. HASSLER, U. and MARMOL, F. (1998) Fractional cointegrating regressions in the presence of linear time trends. Discussion paper.
17. HENRY, M. and ROBINSON, P. M. (1996) Bandwidth choice in Gaussian semiparametric estimation of long range dependence. In Athens Conference on Applied Probability and Time Series Analysis, volume II: Time Series Analysis, (eds P. M. Robinson and M. Rosenblatt). New York: Springer Verlag, 220-32.
18. HOSKING, J. R. M. (1984) Modeling persistence in hydrological time series using fractional differencing. Water Resources Research 20, 1898-908.
19. HURVICH, C. M. and DEO, R. S. (1999) Plug-in selection of the number of frequencies in regression estimates of the memory parameter of a long-memory time series. Journal of Time Series Analysis 20, 331-41.
20. _, DEO, R. S. and BRODSKY, J. (1998) The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series. Journal of Time Series Analysis 19, 19-46.
21. KRÄMER, W. and MARMOL, F. (1998) The power of residual-based tests for cointegration when residuals are fractionally integrated. Technical report, University of Dortmund.
22. LEE, D. and SCHMIDT, P. (1996) On the power of the KPSS test of stationarity against fractionally-integrated alternatives. Journal of Econometrics 73, 285-302.
23. LEYBOURNE, S. and NEWBOLD, P. (1999) On the size properties of Phillips-Perron tests. Journal of Time Series Analysis 20, 51-61.
24. LO, A. W. (1991) Long-term memory in stock market prices. Econometrica 59, 1279-313.
25. LOBATO, I. N. and ROBINSON, P. M. (1998) A nonparametric test for I(0). Review of Economic Studies 65, 475-95.
26. PHILLIPS, P. C. B. and OULIARIS, S. (1990) Asymptotic properties of residual based tests for cointegration. Econometrica 58, 165-93.
27. ROBINSON, P. M. (1995) Log-periodogram regression of time series with long range dependence. The Annals of Statistics 23, 1048-72.
28. ROHATGI, V. K. (1984) Statistical Inference. New York: John Wiley.
29. SCHWERT, G. W. (1989) Tests for unit roots: A Monte Carlo investigation. Journal of Business & Economic Statistics 7, 147-60.
30. VELASCO, C. (1999) Non-stationary log-periodogram regression. Journal of Econometrics 91, 325-71.