| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5062827 | Economics Letters | 2006 | 6 Pages |
Abstract
In this paper a bootstrap approach in the frequency domain is proposed to compute the empirical distribution of the Narrow Band Least Squares Estimator [Robinson, P.M., 1994. Semiparametric analysis of long memory time series. The Annals of Statistics 22, 515-539.] of the fractional cointegration parameter. A Monte Carlo experiment illustrates the finite sample performance.
Related Topics
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Economics and Econometrics
Authors
Margherita Gerolimetto,