A Note on Wavelet Correlation and Cointegration
Data(s) |
07/11/2013
07/11/2013
01/11/2013
|
---|---|
Resumo |
In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series. However, correlation and cointegration are two different concepts even when wavelet analysis is used. It is known that statistics based on nonstationary integrated variables have non-standard asymptotic distributions. However, wavelet analysis offsets the integrating order of nonstationary series so that traditional asymptotics on stationary variables suffices to ascertain the statistical properties of wavelet-based statistics. Based on this, this note shows that wavelet correlations cannot be used as a test of cointegration. |
Identificador |
1134-8984 |
Idioma(s) |
eng |
Relação |
Biltoki;2013.04 |
Direitos |
info:eu-repo/semantics/openAccess |
Palavras-Chave | #econometric methods #integrated process #spectral analysis #time series models #unit roots #wavelet analysis. |
Tipo |
info:eu-repo/semantics/article |