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协整关系的一致检验AI 解读

In this paper we investigate methods for testing the existence of a cointegration relationship among the components of a nonstationary fractionally integrated (NFI) vector time series. Our framework generalizes previous studies restricted to unit root integrated processes and permits simultaneous analysis of spurious and cointegrated NFI vectors. We propose a modified F-statistic, based on a particular studentization, which converges weakly under both hypotheses, despite the…

多元长记忆过程的渐近推断结果AI 解读

In this paper, we extend the well-known Sims, Stock and Watson (SSW) (Sims et al. 1990; Econometrica 56, 113-44), analysis on estimation and testing in vector autoregressive process (VARs) with integer unit roots and deterministic components to a more general set-up where non-stationary fractionally integrated (NFI) processes are considered. In particular, we focus on partial VAR models where the conditioning variables are NFI since this is the only finite-lag VAR model…

协整的工具变量解释与分数协整推断AI 解读

In this paper we propose an alternative characterization of the central notion of cointegration, exploiting the relationship between the autocovariance and the cross-covariance functions of the series. This characterization leads us to propose a new estimator of the cointegrating parameter based on the instrumental variables (IV) methodology. The instrument is a delayed regressor obtained from the conditional bivariate system of nonstationary fractionally integrated…

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