Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77136 
Year of Publication: 
2001
Series/Report no.: 
Technical Report No. 2001,29
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are formulated for fractional cointegration in different situations. It turns out that the robust M–test reaches almost the same power as the maximum likelihood test under certain assumptions. In contrast to this, the power of the M–test is much higher than that of the ML–test if the examined time series is contaminated following the general replacement model.
Subjects: 
Fractional Cointegration
Maximum Likelihood Estimation
Robustness
Long Memory
Document Type: 
Working Paper

Files in This Item:
File
Size
317.58 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.