Robust Tests on Fractional  Cointegration

dc.contributor.author	Peters, Andrea	de
dc.contributor.author	Sibbertsen, Philipp	de
dc.date.accessioned	2004-12-06T18:50:56Z
dc.date.available	2004-12-06T18:50:56Z
dc.date.issued	2001	de
dc.description.abstract	Cointegration describes the pattern that pairs of time series keep together in long run, although they diverge in short run. A generalisation of this behaviour is the fractional cointegration. Two statistical tests, the M– and ML–test are formulated for fractional cointegration in different situations. It turns out that the robust M–test reaches almost the same power as the maximum likelihood test under certain assumptions. In contrast to this, the power of the M–test is much higher than that of the ML–test if the examined time series is contaminated following the general replacement model.	en
dc.format.extent	127378 bytes
dc.format.extent	325199 bytes
dc.format.mimetype	application/pdf
dc.format.mimetype	application/postscript
dc.identifier.uri	http://hdl.handle.net/2003/5277
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15230
dc.language.iso	en	de
dc.publisher	Universitätsbibliothek Dortmund	de
dc.subject	fractional cointegration	en
dc.subject	maximum likelihood estimation	en
dc.subject	robustness	en
dc.subject	long memory	en
dc.subject.ddc	310	de
dc.title	Robust Tests on Fractional Cointegration	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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