Description Usage Arguments Details References Examples
Semiparametric estimator for the cointegrating vector as suggested by Robinson (1994) and discussed by Robinson and Marinucci (2003) and Christensen and Nielsen (2006), among others.
1 | FDLS(X, Y, m)
|
X |
data matrix. |
Y |
data matrix. |
m |
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation of d, usually |
add details here. Assumes that there is no long-run coherence between the errors and the regressors. Consistency and Normality, Stationarity, assumptions,...
Christensen, B. J. and Nielsen, M. O. (2006): Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting. Journal of Econometrics, 133, pp. 343-371.
Robinson, P. M., (1994): Semiparametric analysis of long-memory time series. Annals of Statistics, 22, pp. 515-539.
Robinson, P. M. and Marinucci, D. (2003): Semiparametric frequency domain analysis of fractional cointegration. In: Robinson, P. M. (Ed.), Time Series with Long Memory, Oxford University Press, Oxford, pp. 334-373.
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