Estimating fractional cointegration in the presence of polynomial trends

DOI10.1016/S0304-4076(03)00119-2zbMath1027.62066MaRDI QIDQ1410566

Willa W. Chen, Clifford M. Hurvich

Publication date: 14 October 2003

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

zbMATH Keywords

Long memory; Tapering; Periodogram; Fractional cointegration

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62M15: Inference from stochastic processes and spectral analysis

Related Items

Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration, The FEXP estimator for potentially non-stationary linear time series., Semiparametric estimation of fractional cointegrating subspaces, Low-frequency robust cointegration testing, Fully modified narrow‐band least squares estimation of weak fractional cointegration, LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS, Polynomial Cointegration Between Stationary Processes With Long Memory

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Differencing as an approximate de-trending device
• Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence
• Non-stationary log-periodogram regression
• Semiparametric analysis of long-memory time series
• An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
• Broadband log-periodogram regression of time series with long-range dependence
• The FEXP estimator for potentially non-stationary linear time series.
• Narrow-band analysis of nonstationary processes
• Gaussian semiparametric estimation of long range dependence
• Testing for the cointegrating rank of a VAR process with a time trend
• An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
• Broadband Semiparametric Estimation of the Memory Parameter of a Long‐Memory Time Series Using Fractional Exponential Models
• Model Selection for Broadband Semiparametric Estimation of Long Memory in Time Series
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Optimal Inference in Cointegrated Systems
• Testing for a unit root in time series regression
• Testing for Common Trends
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Linear Trend with Fractionally Integrated Errors
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• Gaussian Semiparametric Estimation of Non-stationary Time Series
• ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The average periodogram for nonstationary vector time series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models