{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,12,2]],"date-time":"2024-12-02T17:10:30Z","timestamp":1733159430509,"version":"3.30.0"},"reference-count":19,"publisher":"Wiley","issue":"3","license":[{"start":{"date-parts":[[2001,6,22]],"date-time":"2001-06-22T00:00:00Z","timestamp":993168000000},"content-version":"vor","delay-in-days":52,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2001,5]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>Robinson and Marinucci (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib17\">1998<\/jats:ext-link>) investigated the asymptotic behaviour of a narrow\u2010band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here we restrict discussion to the standard case when the data are I(1) and the cointegrating errors are I(0), proving that modifications of the Fully Modified Ordinary Least Squares (FM\u2010OLS) procedure of Phillips and Hansen (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib14\">1990<\/jats:ext-link>) which use the FDLS idea have the same asymptotically desirable properties as FM\u2010OLS, and, on the basis of a Monte Carlo study, find evidence that they have superior finite\u2010sample properties. The new procedures are also shown to compare satisfactorily with parametric estimates. Copyright \u00a9 2001 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.613","type":"journal-article","created":{"date-parts":[[2002,9,11]],"date-time":"2002-09-11T01:23:48Z","timestamp":1031707428000},"page":"431-444","source":"Crossref","is-referenced-by-count":6,"title":["Finite sample improvements in statistical inference with I(1) processes"],"prefix":"10.1002","volume":"16","author":[{"given":"D.","family":"Marinucci","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"P. M.","family":"Robinson","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2001,6,22]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2231972"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)90044-2"},{"key":"e_1_2_6_4_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton JD","year":"1994"},{"key":"e_1_2_6_5_1","first-page":"17","volume-title":"Time Series Analysis","author":"Hannan EJ","year":"1963"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/50.3-4.293"},{"key":"e_1_2_6_7_1","first-page":"146","article-title":"An extension of a result of LeCam concerning asymptotic normality","volume":"42","author":"Jeganathan P","year":"1980","journal-title":"Sankhya Series A"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176350962"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-4946-7"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660001344X"},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938258"},{"volume-title":"A Nonparametric and Semiparametric Methods in Econometrics and Statistics","year":"1991","author":"Phillips PCB","key":"e_1_2_6_14_1"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297602"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176325382"},{"key":"e_1_2_6_17_1","series-title":"Handbook of Statistics","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1016\/S0169-7161(97)15013-1","author":"Robinson PM","year":"1997"},{"key":"e_1_2_6_18_1","unstructured":"RobinsonPM MarinucciD.1998.Semiparametric frequency domain analysis of fractional cointegration STICERD Discussion Paper No. 348."},{"key":"e_1_2_6_19_1","doi-asserted-by":"crossref","first-page":"91","DOI":"10.1111\/j.2517-6161.1959.tb00317.x","article-title":"The estimation of relationships with autocorrelated residuals by the use of instrumental variables","volume":"21","author":"Sargan JD","year":"1959","journal-title":"Journal of the Royal Statistical Society Series B"},{"volume-title":"Econometric Analysis for National Economic Planning","year":"1964","author":"Sargan JD","key":"e_1_2_6_20_1"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.613","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.613","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,12,2]],"date-time":"2024-12-02T16:34:28Z","timestamp":1733157268000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.613"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2001,5]]},"references-count":19,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2001,5]]}},"alternative-id":["10.1002\/jae.613"],"URL":"https:\/\/doi.org\/10.1002\/jae.613","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"type":"print","value":"0883-7252"},{"type":"electronic","value":"1099-1255"}],"subject":[],"published":{"date-parts":[[2001,5]]}}}