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A test for fractional cointegration using the sieve bootstrap

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Abstract

The concept of fractional cointegration (Cheung and Lai in J Bus Econ Stat 11:103–112, 1993) has been introduced to generalize traditional cointegration (Engle and Granger in Econometrica 55:251–276, 1987) to the long memory framework. In this work we propose a test for fractional cointegration with the sieve bootstrap and compare by simulations the performance of our proposal with other semiparametric methods existing in literature: the three steps technique of Marinucci and Robinson (J Econom 105:225–247, 2001) and the procedure to determine the fractional cointegration rank of Robinson and Yajima (J Econom 106:217–241, 2002).

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Authors and Affiliations

  1. Dipartimento di Scienze Statistiche, Università di Padova, Via Cesare Battisti, 241, 35121, Padova, Italy

    Margherita Gerolimetto

  2. Dipartimento di Statistica, Università Ca’ Foscari di Venezia, San Giobbe, Cannaregio 873, 30121, Venezia, Italy

    Isabella Procidano

Authors
  1. Margherita Gerolimetto
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  2. Isabella Procidano
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Correspondence to Margherita Gerolimetto.

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Gerolimetto, M., Procidano, I. A test for fractional cointegration using the sieve bootstrap. Stat Meth Appl 17, 373–391 (2008). https://doi.org/10.1007/s10260-007-0065-5

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