Nonparametric cointegration analysis of fractional systems with unknown integration orders (Q2630204): Difference between revisions

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-.1016/j.jeconom.2009.10.002
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+W3125486831
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@@ Property / cites work @@
+Nonparametric cointegration analysis
@@ Property / cites work: Nonparametric cointegration analysis / rank @@
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+Nonparametric tests for unit roots and cointegration.
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+Inference on the cointegration rank in fractionally integrated processes.
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+Semiparametric Estimation of Multivariate Fractional Cointegration
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+Semiparametric estimation of fractional cointegrating subspaces
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Q4360236
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+Q4407616
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+Root-\(n\)-consistent estimation of weak fractional cointegration
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+Statistical analysis of cointegration vectors
@@ Property / cites work: Statistical analysis of cointegration vectors / rank @@
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
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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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+Weak convergence of multivariate fractional processes
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+Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
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+Statistical methods in finance
@@ Property / cites work: Statistical methods in finance / rank @@
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+Testing for cointegration using principal components methods
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+Gaussian semiparametric estimation of long range dependence
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@@ Property / cites work @@
+Cointegration in Fractional Systems with Unknown Integration Orders
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+Determination of cointegrating rank in fractional systems.
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+A simple cointegrating rank test without vector autoregression
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+Testing for \(r\) versus \(r-1\) cointegrating vectors
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+Testing for Common Trends
@@ Property / cites work: Testing for Common Trends / rank @@
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+Variance ratio tests of the seasonal unit root hypothesis
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+Trend Function Hypothesis Testing in the Presence of Serial Correlation
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+.1016/J.JECONOM.2009.10.002
@@ Property / DOI: 10.1016/J.JECONOM.2009.10.002 / rank @@
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+Publication:2630204