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多变量分数协整系统的半参数推断AI 解读

A semiparametric multivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I(0) unobservable inputs having nonparametric spectral density. Two estimates of the vector of cointegrating parameters [nu] are considered. One involves inverse spectral weighting and the other is unweighted but uses a spectral estimate at frequency zero. Both corresponding Wald statistics for testing linear restrictions on [nu] are shown to have a…

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积分阶数未知的分数系统中的协整AI 解读

Cointegrated bivariate nonstationary time series are considered in a fractional context, without allowance for deterministic trends. Both the observable series and the cointegrating error can be fractional processes. The familiar situation in which the respective integration orders are 1 and 0 is nested, but these values have typically been assumed known. We allow one or more of them to be unknown real values, in which case Robinson and Marinucci (2001, 2003) have justified…