FMNBLS function

Fully Modified Narrow Band Least Squares (FMNBLS) estimation of the cointegrating vector.

Semiparametric estimator for the cointegrating vector as suggested by Nielsen and Frederiksen (2011). Refines the FDLS

estimator by allowing for long run coherence between the regressors and the errors.

FMNBLS(X, Y, m0, m1, m2, m3, method = c("local.W", "Hou.Perron", "ELW"))

Arguments

• X: data matrix.
• Y: data matrix.
• m0: bandwidth parameter.
• m1: bandwidth parameter.
• m2: bandwidth parameter.
• m3: bandwidth parameter.
• method: one from method=c("local.W","Hou.Perron","ELW"), to determine which semiparametric long memory estimator is to be used.

Details

add details here. Especially on the selection of all these bandwidth parameters. carefull: it is not clear, whether HP an be used here.

Examples

T<-500
d<-0.4
beta<-1

m0<-m3<-floor(T^0.4)                        
m1<-floor(T^0.6)                       
m2<-floor(T^0.8)

data<-FI.sim(T, q=2, rho=0.8, d=c(d,0))
xt<-data[,1]
et<-data[,2]
yt<-beta*xt+et
FDLS(xt,yt,m=m0)
FMNBLS(xt,yt,m0=m0, m1=m1, m2=m2, m3=m3)

References

Nielsen and Frederiksen (2011): Fully modified narrow-band least squares estimation of weak fractional cointegration. The Econometrics Journal, 14, pp. 77-120.

See Also

FDLS, local.W, Hou.Perron, ELW