Low-frequency robust cointegration testing (Q2439861): Difference between revisions

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+W3022372708
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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Long memory processes and fractional integration in econometrics
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+Asymptotic inference for nearly nonstationary AR(1) processes
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+Estimating fractional cointegration in the presence of polynomial trends
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+Semiparametric Estimation of Multivariate Fractional Cointegration
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+Semiparametric estimation of fractional cointegrating subspaces
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+Q4214054
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+On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
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+Efficient Tests for an Autoregressive Unit Root
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+STATIONARITY TESTING WITH COVARIATES
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+Optimal Inference in Regression Models with Nearly Integrated Regressors
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+Statistical analysis of cointegration vectors
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
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+Simple Robust Testing of Regression Hypotheses
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+Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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+Testing Statistical Hypotheses
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+Size and power of tests of stationarity in highly autocorrelated time series
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+A theory of robust long-run variance estimation
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+Efficient Tests Under a Weak Convergence Assumption
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+Testing Models of Low-Frequency Variability
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+Absolute moments in 2-dimensional normal distribution
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+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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+Testing for the Constancy of Parameters Over Time
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+TESTS OF COMMON STOCHASTIC TRENDS
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+Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
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+Canonical Cointegrating Regressions
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+Towards a unified asymptotic theory for autoregression
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+Statistical Inference in Instrumental Variables Regression with I(1) Processes
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+Q4682143
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+Cointegration in Fractional Systems with Unknown Integration Orders
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+Narrow-band analysis of nonstationary processes
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+A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
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+Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
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+Gaussian Semi‐parametric Estimation of Fractional Cointegration
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