Finite sample improvements in statistical inference with I(1) processes
在I(1)过程和协整误差为I(0)的标准情形下，证明基于频域最小二乘思想修正的完全修正普通最小二乘（FM-OLS）具有与FM-OLS相同的渐近性质，并通过蒙特卡洛研究发现其有限样本性质更优，且与参数估计相比表现良好。
Abstract Robinson and Marinucci ( 1998 ) investigated the asymptotic behaviour of a narrow‐band 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‐OLS) procedure of Phillips and Hansen ( 1990 ) which use the FDLS idea have the same asymptotically desirable properties as FM‐OLS, and, on the basis of a Monte Carlo study, find evidence that they have superior finite‐sample properties. The new procedures are also shown to compare satisfactorily with parametric estimates. Copyright © 2001 John Wiley & Sons, Ltd.