Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/307744 
Year of Publication: 
2024
Series/Report no.: 
Hannover Economic Papers (HEP) No. 730
Publisher: 
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, Hannover
Abstract: 
This paper proposes an estimator that accounts for time variation in a regression relationship with stochastic regressors exhibiting long-range dependence, covering weak fractional cointegration as a special case. An interesting application of this estimator is its ability to handle situations where the regression coefficient changes abruptly. The parametric formulation of this estimator is introduced using the Block-Whittle-based estimation. We analyze the asymptotic properties of this estimator, including consistency and asymptotic normality. Furthermore, we examine the finite sample behavior of the estimator through Monte Carlo simulations. Additionally, we consider a real-life application to demonstrate its advantages over the constant case.
Document Type: 
Working Paper

Files in This Item:
File
Size





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