Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
提出一种基于残差的分数协整检验方法，使用精确局部Whittle估计量检验长期与短期利率的期限利差是否平稳，并应用于英美利率数据。
Campbell and Shiller (1987) and Hall et al. (1992 Hall , A. D. , Anderson , H. M. , Granger , C. W. J. ( 1992 ). A cointegration analysis of treasury bill yields . Review of Economics and Statistics 74 : 116 – 126 .[Crossref], [Web of Science ®] , [Google Scholar]) suggest that the term spread of long-term and short-term interest rates should be a stationary I(0) process. However, an empirically nonstationary term spread or rejection of cointegration between long and short term interest rates need not to be considered an empirical rejection of this theoretical relationship. It is likely that the dichotomy between I(1) or I(0) and/or integer values of cointegration are environments which are too restrictive to model the term structure. To overcome this problem, we propose a residual-based approach to test for the null of no cointegration against a fractional alternative which relies on the Exact Local Whittle Estimator (Shimotsu and Philllips, 2005 Shimotsu , K. , Philllips , P. C. B. ( 2005 ). Exact local whittle estimation of fractional integration . Annals of Statistics 33 : 1890 – 1933 .[Crossref], [Web of Science ®] , [Google Scholar], 2006 Shimotsu , K. , Philllips , P. C. B. ( 2006 ). Local whittle estimation of fractional integration and some of its variants . Journal of Econometrics 103 : 209 – 233 .[Crossref], [Web of Science ®] , [Google Scholar]). We compare its performance to other residual-based tests for fractional cointegration, and then we use it to investigate the term structure in the U.K and the U.S.