Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination

DOI10.1016/j.jeconom.2016.07.009zbMath1422.62279OpenAlexW2282262762MaRDI QIDQ515127

Rasmus Tangsgaard Varneskov, Bent Jesper Christensen

Publication date: 10 March 2017

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

Full work available at URL: https://pure.au.dk/ws/files/135747560/Christensen_2017_Medium_band_least_squares_estimation_of_fractional_cointegration.pdf

zbMATH Keywords

semiparametric estimationlong memoryfactor modelsstructural changefractional cointegrationdeterministic trendsrealized variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Economic time series analysis (91B84) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (5)

CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ Autoregressive spectral estimates under ignored changes in the mean ⋮ Combining long memory and level shifts in modelling and forecasting the volatility of asset returns ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Testing for parameter instability and structural change in persistent predictive regressions

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