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Title: Fractionally integrated long horizon regressions
Authors: Lee, J. 
Issue Date: Mar-2007
Citation: Lee, J. (2007-03). Fractionally integrated long horizon regressions. Studies in Nonlinear Dynamics and Econometrics 11 (1) : -. ScholarBank@NUS Repository.
Abstract: We consider long horizon regression models where the disturbance and the predictor are possibly fractionally integrated. Asymptotic distributions of the OLS estimator and of the test statistic are given. It is found that the t-statistic diverges at the rate of square root of T, where T is the sample size. Thus, it is desirable to use the scaled test statistic, as it converges to a well-defined limit, which depends on the memory parameters through the functionals on the fractional Wiener processes. Simulation studies present some empirical distributions of the scaled test statistic according to different values of the memory parameters. The proposed model with fractional processes is empirically more tractable than the model with local to unity processes, since memory parameters are consistently estimable unlike localizing parameters in the latter model. Copyright © 2007 The Berkeley Electronic Press. All rights reserved.
Source Title: Studies in Nonlinear Dynamics and Econometrics
ISSN: 10811826
Appears in Collections:Staff Publications

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