The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size

Computational Economics

Volumn 24, Issue 3, 2004, Pages 239-255

  Dubois, Emmanuel ^a   Lardic, Sandrine ^b   Mignon, Valérie ^b  

^a UNIVERSITÉ PARIS SACLAY   (France)

^b UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

Author keywords

Exact maximum likelihood procedure; Fractional cointegration; Monte Carlo experiment

Indexed keywords

EID: 15044347831     PISSN: 09277099     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10614-004-3544-x     Document Type: Article

References (19)

1. Baillie, R.T. (1996). Long memory processes and fractional integration in econometrics, Journal of Econometrics, 73 (1), 5-59.
2. Bollerslev, T. and Jubinski, D. (1999). Equity trading volume and volatility: Latent information arrivals and common Long-run dependencies. Journal of Business and Economic Statistics, 17, 9-21.
3. Cheung Y.-W., and Diebold F.X. (1994). On the maximum likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean, Journal of Econometrics, 62, 301-316.
4. Chou, W. and Shih, Y. (1997). Long-run purchasing power parity and long-term memory: Evidence from asian newly industrialized countries. Applied Economics Letters, 4 575-578
5. Dahlhaus, R. (1988). Small sample effects in time series analysis: A new asymptotic theory and a new estimate. The Annals of Statistics 16 808-841.
6. Dahlhaus, R. (1989). Efficient parameter estimation for self-similar processes. The Annals of Statistics, 17, 1749-1766
7. Dittmann, I. (2000). Residual-based tests for fractional cointegration: A Monte Carlo study. Journal of Time Series Analysis, 21 (6), 615-647
8. Doornik, J.A. and Ooms, M. (1999). A package for estimating, forecasting and simulating ARFIMA models: ARFIMA package 1.0 for Ox., Discussion Paper, Nuffield College, Oxford.
9. Doornik, J.A. and Ooms, M. (2003). Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models. Computational Statistics and Data Analysis, 41, 333-348.
10. Geweke, J. and Porter-Hudak, S. (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis 4 (4), 221-238.
11. Granger, C.W.J. (1986). Developments in the study of cointegrated economic variables. Oxford Bulletin of Economics and Statistics, 48, 228-231.
12. Granger, C.W.J. and Joyeux, R. (1980). An introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis, 1 (1), 15-29.
13. Hauser, M.A. (1999). Maximum likelihood estimators for ARMA and ARFIMA Models: A Monte Carlo study. Journal of Statistical Planning and Inference. 80, 229-255.
14. Hosking, J.R.M. (1981). Fractional differencing. Biometrika, 68 (1), 165-176.
15. Li, W.K. and McLeod, A.I. (1986). Fractional time series modelling. Biometrika, 73, 217-221.
16. Lo, A.W. (1991). Long-term memory in stock market prices. Econometrica, 5, 1279-1313.
17. Lobato, I.N. and Robinson, P.M. (1998). A nonparametric test for I(0). Review of Economic Studies, 65, 475-495.
18. Ooms, M. and Doorink, J.A. (1999). Inference and forecasting for fractional autoregressive integrated moving average models, with an application to US and UK inflation. Econometric Institute Report, 9947/ A, Erasmus University Rotterdam.
19. Sowell, F. (1992). Maximum likelihood estimation of stationary univariate fractionally integrated time series models. Journal of Econometrics, 53, 165-188.