Semiparametric inference in multivariate fractionally cointegrated systems
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Publication:736545
DOI10.1016/J.JECONOM.2010.04.002zbMath1431.62385OpenAlexW2078162703MaRDI QIDQ736545
Javier Hualde, Peter M. Robinson
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.04.002
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)
Related Items (14)
On nonparametric density estimation for multivariate linear long-memory processes ⋮ Identifying Cointegration by Eigenanalysis ⋮ Cointegration Rank Estimation for High-Dimensional Time Series With Breaks ⋮ Error-Correction Factor Models for High-dimensional Cointegrated Time Series ⋮ Fully modified narrow‐band least squares estimation of weak fractional cointegration ⋮ Estimation of long-run parameters in unbalanced cointegration ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Fixed Bandwidth Inference for Fractional Cointegration ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes ⋮ Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration ⋮ Nonparametric predictive regression ⋮ Approximate state space modelling of unobserved fractional components
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