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Author: D Marinucci

8 results found.

Econometrics Paper

Finite Sample Improvement in Statistical Inference with I(1) Processes

D Marinucci and Peter M Robinson

Robinson and Marinucci (1998) investigated the asymptotic behaviour of a narrow-band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here w...Read more...

July 2001

Econometrics Paper

Narrow-Band Analysis of Nonstationary Processes

D Marinucci and Peter M Robinson

The behaviour of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically s...Read more...

July 2001

Econometrics Paper

Semiparametric Fractional Cointegration Analysis

D Marinucci and Peter M Robinson

Fractional cointegration is viewed from a semiparametric viewpoint as a narrow-band phenomenon at frequency zero. We study a narrow-band frequency domain least squares estimate of the cointegrating vector, and related se...Read more...

July 2001

Econometrics Paper

The Averaged Periodogram for Nonstationary Vector Time Series

D Marinucci and Peter M Robinson

Averaged periodogram; nonstationary processes; fractional Brownian motion....Read more...

December 2000

Econometrics Paper

Weak Convergence of Multivariate Fractional Processes - (Now published in 'Stochastic Processes and their Applications', 80 (1999), pp.103-120.)

D Marinucci and Peter M Robinson

Weak convergence to a form of fractional Brownian motion is established for a wide class of nonstationary fractionally integrated multivariate processes. Instrumental for the main argument is a result of some independent...Read more...

July 1998

Econometrics Paper

Band Spectrum Regression for Cointegrated Time Series with Long Memory Innovations

D Marinucci

Band spectrum regression is considered for cointegrated time series with long memory innovations. The estimates we advocate are shown to be consistent when cointegrating relationships among stationary variables are inves...Read more...

July 1998

Econometrics Paper

Alternative Forms of Fractional Brownian Motion - (Now published in 'Journal of Statistical Planning and Inference', 80 (1999), pp.111-122.)

D Marinucci and Peter M Robinson

It is pointed out that two contradictory definitions of fractional Brownian motion are well established, one prevailing in the probabilistic literature, the other in the econometric literature. Each is associated with a ...Read more...

July 1998

Econometrics Paper

Semiparametric Frequency Domain Analysis of Fractional Cointegration - (Revised version forthcoming in P M Robinson: 'Time Series with Long Memory' (Oxford University Press).

D Marinucci and Peter M Robinson

The concept of cointegration has principally been developed under the assumption that the raw data vector zt is I(1) and the cointegrating residual et is I(0), but is also of interest in more general, including fractiona...Read more...

March 1998