Gastvortrag von Prof. Dr. Philipp Sibbertsen (Leibniz Universität Hannover) am 19. November 2018
Mo., 19. November 2018
13:00 Uhr, HG 217
Am 19. November wird Prof. Dr. Philipp Sibbertsen von der Leibniz Universität Hannover einen Gastvortrag zum Thema "Multivariate Spurious Long Memory and a robust Local Whittle Estimator" halten.
For univariate time series it is well documented that low frequency contaminations generate spurious long memory although both features are empirically distinct. This paper extends this analysis to vector valued processes. We propose a rigorous definition of spurious fractional cointegration, we show that such a behavior will occur in processes with joint low frequency contaminations and standard estimation of the cointegrating rank can spuriously indicate fractional cointegration in these situations.
To deal with multivariate low frequency contamination, we derive a robust multivariate local Whittle (RMLW) estimator for the memory parameters and the cointegrating vector that is consistent and asymptotically normal in the presence of low frequency contaminations and spurious fractional cointegration.
Finally, we introduce a procedure to consistently estimate whether there is fractional cointegration and common low frequency contaminations in the series.