A comparison of semiparametric tests for fractional cointegration (Q2065321): Difference between revisions

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+A Wald test for the cointegration rank in nonstationary fractional systems
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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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+Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+An enlarged definition of cointegration
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+Normal rank
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
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+Specification Tests in Econometrics
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+Normal rank
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+Size and power of some cointegration tests under structural breaks and heteroskedastfc noise
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+A simple test for the equality of integration orders
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+DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
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+An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
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+Statistical analysis of cointegration vectors
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+Normal 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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+Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
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+Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
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+Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
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+Q3827437
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+Likelihood based testing for no fractional cointegration
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+A semiparametric two-step estimator in a multivariate long memory model
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+Alternative forms of fractional Brownian motion
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+Normal rank
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+Semiparametric fractional cointegration analysis
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+Consistent Testing of Cointegrating Relationships
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+Spectral analysis of fractionally cointegrated systems
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+Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
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+A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC
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+Nonparametric cointegration analysis of fractional systems with unknown integration orders
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+Fully modified narrow‐band least squares estimation of weak fractional cointegration
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+Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
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+Testing for cointegration using principal components methods
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+Comparisons of tests for multivariate cointegration
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+Semiparametric analysis of long-memory time series
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+Gaussian semiparametric estimation of long range dependence
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+Log-periodogram regression of time series with long range dependence
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+Diagnostic testing for cointegration
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+Multiple local Whittle estimation in stationary systems
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+Narrow-band analysis of nonstationary processes
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+Determination of cointegrating rank in fractional systems.
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+Gaussian semiparametric estimation of multivariate fractionally integrated processes
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+EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
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+Exact local Whittle estimation of fractionally cointegrated systems
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+Exact local Whittle estimation of fractional integration
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+Gaussian Semi‐parametric Estimation of Fractional Cointegration
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+Nonparametric frequency domain analysis of nonstationary multivariate time series
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+Residual-based test for fractional cointegration
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+Identifying Cointegration by Eigenanalysis
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