• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Recent PhD Placements
    • Admissions
    • Facilities
  • Research
  • News
  • Events
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
    • Summer School
      • Crash Course in Experimental Economics
      • Behavioral Macro and Complexity
      • Introduction in Genome-Wide Data Analysis
      • Econometric Methods for Forecasting and Data Science
  • Times
Home | Events Archive | Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems
Seminar

Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems


  • Series
    Array
  • Speaker(s)
    Dumitrescu Elena Ivona (Université Paris Nanterre, France)
  • Field
    Econometrics
  • Location
    Erasmus University, Polak Building, Room 2-14
    Rotterdam
  • Date and time

    May 23, 2019
    16:00 - 17:00

Abstract:

In this paper we propose a local Whittle estimator of stationary bivariate unbalanced fractional cointegration systems. Unbalanced cointegration refers to the situation where the observables have different integration orders, but their filtered versions have equal integration orders and are cointegrated in the usual sense. Based on the frequency
domain representation of the unbalanced version of Phillips’ triangular system, we develop a semiparametric approach to jointly estimate the unbalance parameter, the long run coefficient, and the integration orders of the regressand and cointegrating errors. The paper establishes the consistency and asymptotic normality of this estimator. We find a peculiar rate of convergence for the unbalance estimator (possibly faster than root-n) and a singular joint limiting distribution of the unbalance and long-run coefficients. Its good finite-sample properties are emphasized through Monte Carlo experiments. We illustrate the relevance of the developed estimator for financial data in an empirical application to the information flowing between the crude oil spot and CME-NYMEX markets.

Co-author: Gilles de Truchis and Florent Dubois