FDLS {LongMemoryTS} | R Documentation |
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.
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.
T<-500
d<-0.4
beta<-1
data<-FI.sim(T, q=2, rho=0, d=c(d,0))
xt<-data[,1]
et<-data[,2]
yt<-beta*xt+et
FDLS(xt,yt,m=floor(1+T^0.4))
data<-FI.sim(T, q=2, rho=0.8, d=c(d,0))
xt<-data[,1]
et<-data[,2]
yt<-beta*xt+et
FDLS(xt,yt,m=floor(1+T^0.4))