Exact local Whittle estimation of fractionally cointegrated systems (Q528005): Difference between revisions

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-.1016/j.jeconom.2012.01.028
@@ Property / DOI: 10.1016/j.jeconom.2012.01.028 / rank @@
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-Katsumi Shimotsu
@@ Property / author: Katsumi Shimotsu / rank @@
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+Katsumi Shimotsu
@@ Property / author: Katsumi Shimotsu / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M09
@@ Property / Mathematics Subject Classification ID: 62M09 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M15
@@ Property / Mathematics Subject Classification ID: 62M15 / rank @@
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+G20
@@ Property / Mathematics Subject Classification ID: 62G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
+6714736
@@ Property / zbMATH DE Number: 6714736 / rank @@
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@@ Property / zbMATH Keywords @@
+discrete Fourier transform
@@ Property / zbMATH Keywords: discrete Fourier transform / rank @@
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@@ Property / zbMATH Keywords @@
+fractional cointegration
@@ Property / zbMATH Keywords: fractional cointegration / rank @@
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@@ Property / zbMATH Keywords @@
+long memory
@@ Property / zbMATH Keywords: long memory / rank @@
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+nonstationarity
@@ Property / zbMATH Keywords: nonstationarity / rank @@
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+semiparametric estimation
@@ Property / zbMATH Keywords: semiparametric estimation / rank @@
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@@ Property / zbMATH Keywords @@
+Whittle likelihood
@@ Property / zbMATH Keywords: Whittle likelihood / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2018752896
@@ Property / OpenAlex ID: W2018752896 / rank @@
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@@ Property / cites work @@
+Semiparametric Estimation of Multivariate Fractional Cointegration
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@@ Property / cites work @@
+Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
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@@ Property / cites work @@
+Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
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@@ Property / cites work @@
+Co-Integration and Error Correction: Representation, Estimation, and Testing
+Normal rank
@@ Property / cites work @@
+Residual log-periodogram inference for long-run relationships
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@@ Property / cites work @@
+A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
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@@ Property / cites work @@
+A semiparametric two-step estimator in a multivariate long memory model
+Normal rank
@@ Property / cites work @@
+Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
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@@ Property / cites work @@
+Local Whittle estimation in nonstationary and unit root cases.
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+The distance between rival nonstationary fractional processes
+Normal rank
@@ Property / cites work @@
+Multiple local Whittle estimation in stationary systems
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@@ Property / cites work @@
+Narrow-band analysis of nonstationary processes
@@ Property / cites work: Narrow-band analysis of nonstationary processes / rank @@
+Normal rank
@@ Property / cites work @@
+Determination of cointegrating rank in fractional systems.
+Normal rank
@@ Property / cites work @@
+LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION FOR NONLINEAR PROCESSES
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@@ Property / cites work @@
+Gaussian semiparametric estimation of multivariate fractionally integrated processes
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@@ Property / cites work @@
+EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
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@@ Property / cites work @@
+Exact local Whittle estimation of fractionally cointegrated systems
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@@ Property / cites work @@
+Exact local Whittle estimation of fractional integration
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@@ Property / cites work @@
+Local Whittle estimation of fractional integration and some of its variants
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@@ Property / cites work @@
+The spurious regression of fractionally integrated processes
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@@ Property / cites work @@
+Gaussian Semiparametric Estimation of Non-stationary Time Series
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@@ Property / cites work @@
+Gaussian Semi‐parametric Estimation of Fractional Cointegration
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@@ Property / DOI @@
+.1016/J.JECONOM.2012.01.028
@@ Property / DOI: 10.1016/J.JECONOM.2012.01.028 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:528005