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

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+November 2013Timestamp +2013-11-08T00:00:00Z
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@@ Property / publication date: 8 November 2013 / rank @@
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@@ Property / title @@
+Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model (English)
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@@ Property / zbMATH Open document ID @@
+.62598
@@ Property / zbMATH Open document ID: 1274.62598 / rank @@
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+Søren Glud Johansen
@@ Property / author: Søren Glud Johansen / rank @@
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+Morten Ørregaard Nielsen
@@ Property / author: Morten Ørregaard Nielsen / rank @@
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+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
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+F10
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+6224066
@@ Property / zbMATH DE Number: 6224066 / rank @@
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@@ Property / zbMATH Keywords @@
+cofractional processes
@@ Property / zbMATH Keywords: cofractional processes / rank @@
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@@ Property / zbMATH Keywords @@
+cointegration rank
@@ Property / zbMATH Keywords: cointegration rank / rank @@
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@@ Property / zbMATH Keywords @@
+fractional cointegration
@@ Property / zbMATH Keywords: fractional cointegration / rank @@
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+likelihood inference
@@ Property / zbMATH Keywords: likelihood inference / rank @@
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@@ Property / zbMATH Keywords @@
+vector autoregressive model
@@ Property / zbMATH Keywords: vector autoregressive model / rank @@
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@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / cites work @@
+Q5631966
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+Long memory processes and fractional integration in econometrics
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+Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
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+A Fractional Dickey-Fuller Test for Unit Roots
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+A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
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+ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY  INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
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+EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
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+Time Series Regression with a Unit Root
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+The Fractional Unit Root Distribution
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+THE NONSTATIONARY FRACTIONAL UNIT ROOT
@@ Property / cites work: THE NONSTATIONARY FRACTIONAL UNIT ROOT / rank @@
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+Asymptotic Statistics
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+https://doi.org/10.3982/ecta9299
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+W3123551008
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