Testing of Fractional Cointegration in Macroeconomic Time Series
نویسنده
چکیده
We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the individual series and then, testing the degree of integration of the residuals from the cointegrating relationship. Finite-sample critical values of the new tests are computed and Monte Carlo experiments are conducted to examine the size and the power properties of the tests in finite samples. An empirical application, using the same datasets as in Engle and Granger (1987) and Campbell and Shiller (1987) is also carried out at the end of the article. JEL Classification: C15; C22.
منابع مشابه
Semiparametric Fractional Cointegration Analysis
Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. Recent semiparametric methods of inference on memory parameters are developed to explore the possibility of fractional cointegration by means of testing the memory of observables and also new tests for the presence of fractional cointegration. These, along with narrow band estimates...
متن کاملMoney, Interest Rate, and Stock Prices: New Evidence from Singapore and the United States
This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger caus...
متن کاملTesting for the Equality of Integration Orders of Multiple Series
Testing for the equality of integration orders is an important topic in time series analysis because it constitutes an essential step in testing for (fractional) cointegration in the bivariate case. For the multivariate case, there are several versions of cointegration, and the version given in Robinson and Yajima (2002) has received much attention. In this definition, a time series vector is p...
متن کاملA Transaction-Level Pure-Jump Model Yielding Cointegration
A contemporaneous linear combination of two or more time series is less persistent than the individual series. Engle and Granger (1987) allowed for both standard and fractional cointegration. Under standard cointegration, the memory parameter is reduced from 1 to 0, while under fractional cointegration the level of reduction need not be an integer thus is more general. Empirical examples includ...
متن کاملFractional Integration and Cointegration in US Financial Time Series Data
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with d < 1, which implies mean reversion. The multivariate framework exploiting recent developments in fr...
متن کامل