Cointegration in fractional systems with deterministic trends

DOI10.1016/J.JECONOM.2004.09.009zbMath1335.62144OpenAlexW2065147055MaRDI QIDQ265117

Fabrizio Iacone, Peter M. Robinson

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/2232/1/Cointegration_in_Fractional_Systems_with_Deterministic_Trends.pdf

zbMATH Keywords

fractional cointegrationWald testsdeterministic trendsgeneralized least squares estimationordinary least squares estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Non-Markovian processes: estimation (62M09)

Related Items (12)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ⋮ Robust testing of time trend and mean with unknown integration order errors ⋮ TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS ⋮ Testing for a break in trend when the order of integration is unknown ⋮ Fractional cointegration in the presence of linear trends ⋮ Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Semiparametric inference in multivariate fractionally cointegrated systems ⋮ DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION ⋮ Fixed Bandwidth Inference for Fractional Cointegration ⋮ ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION

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