Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alana, Luís A.

doi:10.1007/s00181-013-0780-8

Cited by 11 publications

(4 citation statements)

References 47 publications

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“…where α and s t are called the cointegration vector and error respectively [20]. A simple bivariate system of fractional cointegrated x t and y t processes can be defined as:…”

Section: Wang Et Al (2015) Fractional Cointegration Testmentioning

confidence: 99%

A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects

Olaniran,

Allohibi

et al. 2024

Preprint

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Asymptotic theories for fractional cointegrations have been extensively studied in the context of time series data, with numerous empirical studies and tests developed. However, most of the previously developed testing procedures for fractional cointegration were primarily designed for time series data. This paper proposes a generalized residual-based test for fractionally cointegrated panels with fixed effects. The test development is based on bivariate panel series with the regressor assumed to be fixed across cross-sectional units. The proposed test procedure accommodates any integration order between [0,1], and it is asymptotically normal under the null hypothesis. Monte Carlo experiments demonstrate that the test exhibits better size and power compared to a similar residual-based test across varying sample sizes.

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“…where α and s t are called the cointegration vector and error respectively [20]. A simple bivariate system of fractional cointegrated x t and y t processes can be defined as:…”

Section: Wang Et Al (2015) Fractional Cointegration Testmentioning

confidence: 99%

A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects

Olaniran,

Allohibi

et al. 2024

Preprint

View full text Add to dashboard Cite

show abstract

“…Here, α and s t are termed the cointegration vector and error, respectively [30]. Also, it is assumed that d ≥ b such that (d − b) ≥ 0.…”

Section: All Elements Of C T Follow I(d)mentioning

confidence: 99%

A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects

Olaniran,

Allohibi

et al. 2024

Mathematics

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Asymptotic theories for fractional cointegrations have been extensively studied in the context of time series data, with numerous empirical studies and tests having been developed. However, most previously developed testing procedures for fractional cointegration are primarily designed for time series data. This paper proposes a generalized residual-based test for fractionally cointegrated panels with fixed effects. The test’s development is based on a bivariate panel series with the regressor assumed to be fixed across cross-sectional units. The proposed test procedure accommodates any integration order between [0,1], and it is asymptotically normal under the null hypothesis. Monte Carlo experiments demonstrate that the test exhibits better size and power compared to a similar residual-based test across varying sample sizes.

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“…where α and s t are called the cointegration vector and error respectively Caporale and Gil-Alana (2014). A simple bivariate system of fractional cointegrated x t and y t processes can be defined as:…”

Section: Fractional Cointegrationmentioning

confidence: 99%

A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models

Olaniran

Ismail

2022

AJS

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Several authors have studied fractional cointegration in time series data, but little or no consideration has been extended to panel data settings. Therefore, in this paper, we compare the finite sample behaviour of existing fractional cointegration time-series test procedures in panel data settings. This comparison is performed to determine the best tests that can be adapted to fractional cointegration in panel data settings. Specifically, simulation studies and real-life data analysis were performed to study the changes in the empirical type I error rate and power of six semiparametric fractional cointegration tests in panel settings. The various results revealed the limitations of the tests in the nonstationary and low or high correlation of the residual errors conditions. Also, two of the test procedures were recommended for testing the null hypothesis of no fractional cointegration in both time series and panel data settings.

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Fractional integration and cointegration in US financial time series data

Cited by 11 publications

References 47 publications

A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects

A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects

A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects

A Comparative Analysis of Semiparametric Tests for Fractional Cointegration in Panel Data Models

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