Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (Q125805): Difference between revisions

@@ Property / DOI @@
-.3982/ECTA9299
@@ Property / DOI: 10.3982/ECTA9299 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Q5631966
@@ Property / cites work: Q5631966 / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory processes and fractional integration in econometrics
+Normal rank
@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Inference for unstable long-memory processes with applications to fractional unit root autoregressions
+Normal rank
@@ Property / cites work @@
+The Invariance Principle for Stationary Processes
@@ Property / cites work: The Invariance Principle for Stationary Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of the Estimators for Autoregressive Time Series With a Unit Root
+Normal rank
@@ Property / cites work @@
+Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
+Normal rank
@@ Property / cites work @@
+A Fractional Dickey-Fuller Test for Unit Roots
@@ Property / cites work: A Fractional Dickey-Fuller Test for Unit Roots / rank @@
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4407616
@@ Property / cites work: Q4407616 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
+Normal rank
@@ Property / cites work @@
+A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
+Normal rank
@@ Property / cites work @@
+Foundations of Modern Probability
@@ Property / cites work: Foundations of Modern Probability / rank @@
+Normal rank
@@ Property / cites work @@
+Q4124106
@@ Property / cites work: Q4124106 / rank @@
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY  INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
+Normal rank
@@ Property / cites work @@
+Efficient Wald Tests for Fractional Unit Roots
@@ Property / cites work: Efficient Wald Tests for Fractional Unit Roots / rank @@
+Normal rank
@@ Property / cites work @@
+Weak convergence of multivariate fractional processes
+Normal rank
@@ Property / cites work @@
+EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
+Normal rank
@@ Property / cites work @@
+Time Series Regression with a Unit Root
@@ Property / cites work: Time Series Regression with a Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient Tests of Nonstationary Hypotheses
@@ Property / cites work: Efficient Tests of Nonstationary Hypotheses / rank @@
+Normal rank
@@ Property / cites work @@
+Cointegration in Fractional Systems with Unknown Integration Orders
+Normal rank
@@ Property / cites work @@
+The Fractional Unit Root Distribution
@@ Property / cites work: The Fractional Unit Root Distribution / rank @@
+Normal rank
@@ Property / cites work @@
+THE NONSTATIONARY FRACTIONAL UNIT ROOT
@@ Property / cites work: THE NONSTATIONARY FRACTIONAL UNIT ROOT / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.3982/ecta9299
@@ Property / full work available at URL: https://doi.org/10.3982/ecta9299 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3123551008
@@ Property / OpenAlex ID: W3123551008 / rank @@
+Normal rank