2012•Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)Open access

Testing for time-varying fractional cointegration using the bootstrap approach

Kisu Simwaka

Open full text 0 citations

Abstract

Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. Although cointegration tests have been developed for the traditional cointegration framework, these tests do not take into account fractional cointegration. This paper proposes a bootstrap procedure to test for time-varying fractional cointegration.

Open-access reader

About this research paper

What this paper is about

Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. Although cointegration tests have been developed for the traditional cointegration framework, these tests do not take into account fractional cointegration. This paper proposes a bootstrap procedure to test for time-varying fractional cointegration.

Why it matters

A significance statement is not available in the OpenAlex record.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

Fractional cointegration has attracted interest in time series econometrics in recent years (see among others, Dittmann 2004). According to Engle and Granger (1987), the concept of fractional cointegration was introduced to generalize the traditional cointegration to the long memory framework. Although cointegration tests have been developed for the traditional cointegration framework, these tests do not take into account fractional cointegration. This paper proposes a bootstrap procedure to test for time-varying fractional cointegration.

Key concepts: Cointegration, Econometrics, Long memory, Series (stratigraphy), Economics, Mathematics, Geology, Paleontology

Related papers

Back to paper searchBrowse research topicsOriginal source
Testing for time-varying fractional cointegration using the bootstrap approach — Research Paper | ScholarLens