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Keyword: integration;

23 results found.

CASEpaper

Experience of multiple disadvantage among Roma, Gypsy and Traveller children in England and Wales

Tania Burchardt, Polina Obolenskaya, Polly Vizard and Mario Battaglini

Roma, Gypsy and Traveller children across Europe experience high levels of disadvantage and have repeatedly been identified as a priority in European Commission policy documents, yet they are often missing or invisible i...Read more...

1 March 2018

Econometrics Paper

Multiple Local Whittle Estimation in Stationary Systems

Peter M Robinson

Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (?), at the frequency of principal interest, zero; for short memory series ? = 0 automatically. The latter case h...Read more...

October 2007

Econometrics Paper

DIAGNOSTIC TESTING FOR COINTEGRATION

Peter Robinson

We develop a sequence of tests for specifying the cointegrating rank of, possibly fractional, multiple time series. Memory parameters of observables are treated as unknown, as are those of possible cointegrating errors. ...Read more...

September 2007

Econometrics Paper

Fractional Cointegration In Stochastic Volatility Models

Afonso Gonçalves da Silva and Peter M Robinson

Asset returns are frequently assumed to be determined by one or more common factors. We consider a bivariate factor model, where the unobservable common factor and idiosyncratic errors are stationary and serially uncorre...Read more...

May 2007

Econometrics Paper

Estimation of Nonlinear Error Correction Models

Myung Hwan Seo

Asymptotic inference in nonlinear vector error correction models (VECM) that exhibit regime-specific short-run dynamics is nonstandard and complicated. This paper contributes the literature in several important ways. Fir...Read more...

March 2007

Econometrics Paper

Semiparametric Estimation of Fractional Cointegration

Javier Hualde and Peter M Robinson

A semiparametric bivariate fractionally cointegrated system is considered, integration orders possibly being unknown and I (0) unobservable inputs having nonparametric spectral density. Two kinds of estimate of the coint...Read more...

May 2006

Econometrics Paper

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

Afonso Gonçalves da Silva and Peter M Robinson

Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are inva...Read more...

April 2006

Econometrics Paper

Instrumental Variables Estimation of Stationary and Nonstationary Cointegrating Regressions

Peter M Robinson and M. Gerolimetto

Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least squares estimation of cointegrating regressions betwee...Read more...

April 2006

Econometrics Paper

ROOT-N-CONSISTENT ESTIMATION OF WEAK FRACTIONAL COINTEGRATION

Javier Hualde and Peter M Robinson

Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, ß, between the integration order d of observable time series, and the integration order ? of cointegrating errors, is less ...Read more...

March 2006

Econometrics Paper

Unit Root Test in a Threshold Autoregression: Asymptotic Theory and Residual-based Block Bootstrap

Myunghwan Seo

There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold a...Read more...

January 2005

Econometrics Paper

Cointegration in Fractional Systems with Deterministic Trends

Fabrizio Iacone and Peter M Robinson

We consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and det...Read more...

May 2004

Econometrics Paper

The Distance between Rival Nonstationary Fractional Processes

Peter M Robinson

Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the...Read more...

March 2004

Econometrics Paper

Cointegration in Fractional Systems with Unkown Integration Orders

Javier Hualde and Peter M Robinson

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is complet...Read more...

February 2003

Econometrics Paper

Determination of Cointegrating Rank in Fractional Systems

Peter M Robinson and Yoshihiro Yajima

This paper develops methods of investigating the existence and extent of cointegration in fractionally integrated systems. We focus on stationary series, with some discussion of extension to nonstationarity. The setting ...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

Testing of Seasonal Fractional Integration in UK and Japanese Consumption and Income

L A Gil-Alaña and Peter M Robinson

The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally-based tests proposed by Robinson (1994). These series were analysed from an autoregressive unit root viewpoi...Read more...

November 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

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

Econometrics Paper

Testing of Unit Root and Other Nonstationary Hypotheses in Macroeconomic Time Series - (Now published in 'Journal of Econometrics', 80, 1997, pp.241-268.)

L A Gil-Alaña and Peter M Robinson

Recently proposed tests for unit root and other nonstationarity of Robinson (1994a) are applied to an extended version of the data set used by Nelson and Plosser (1982). Unusually, the tests are efficient (against approp...Read more...

December 1996

Econometrics Paper

Multivariate Structural Time Series Models - (Now published in 'System Dynamics in Economic and Financial Models', CHeij, H Schumacher, B Hanzon and C Praagman (eds.) John Wiley & Sons, Chichester (1997), pp.269-298.)

Andrew C Harvey and Siem Jan Koopman

Much of economic analysis presupposes that certain economic time series can be decomposed into trends and cycles. Structural time series models are explicitly set up in terms of such unobserved components. This paper set...Read more...

March 1996

Economics of Industry Paper

Endogenous Industry Structure in Vertical Duopoly

Maija Halonen

This paper examines integration decisions of successive duopolists. It is shown that qualitatively the same pattern of integration emerges whether there is Cournot or Bertrand competition in the input market. The degree ...Read more...

July 1994