Autori
Marinucci, Domenico
Robinson, P. M.

Titolo
Finite sample improvements in statistical inference with I(1) processes
Periodico
Università degli Studi di Roma "La Sapienza" - Dipartimento di Studi Geoeconomici, Linguistici, Statistici e Storici per l'Analisi regionale. Working papers
Anno: 1998 - Fascicolo: 4 - Pagina iniziale: 1 - Pagina finale: 29

In a recent paper(Robinson and Marinucci 1998) we investigated the asymptotic behaviour of a narrow-band semiparametric procedure termed Frequency Domain Least Squares(FDLS)in the broad context of fractional cointegration analysis. The purpose of this paper is to study the extent to which we can improve on the performance of FDLS in the more standard case when the raw data are I(1) and the cointegrating residuals are I(0). We prove that modifications of the Fully Motified Ordinary Least Squares (FM-OLS) procedure of Phillips and Hansen (1990) which use the FDLS idea have the same asymptotically desirable properties as FM-OLS, and, on the basis of a Monte Carlo study, we find that they have superior finite-sample properties.




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