Inference on the cointegration rank in fractionally integrated processes.

DOI10.1016/S0304-4076(02)00091-XzbMath1038.62075OpenAlexW2168960357MaRDI QIDQ1858968

Uwe Hassler, Jörg Breitung

Publication date: 17 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(02)00091-x

zbMATH Keywords

long memoryLM testcointegrated systems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (35)

Unnamed Item ⋮ Residual log-periodogram inference for long-run relationships ⋮ Efficient inference in multivariate fractionally integrated time series models ⋮ Alternative bootstrap procedures for testing cointegration in fractionally integrated processes ⋮ Testing for persistence change in fractionally integrated models: an application to world inflation rates ⋮ Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ A Wald test for the cointegration rank in nonstationary fractional systems ⋮ Nonparametric cointegration analysis of fractional systems with unknown integration orders ⋮ Estimating memory parameter in the US inflation rate ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ Harmonically Weighted Processes ⋮ Fractional cointegration in the presence of linear trends ⋮ A test of the null of integer integration against the alternative of fractional integration ⋮ Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model ⋮ A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS ⋮ Asymptotic normal tests for integration in panels with cross-dependent units ⋮ Bias correction for the regression-based LM fractional integration test ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Likelihood based testing for no fractional cointegration ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Finite sample performance of frequency- and time-domain tests for seasonal fractional integration ⋮ LONG MEMORY TESTING IN THE TIME DOMAIN ⋮ DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION ⋮ A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES ⋮ A test for fractional cointegration using the sieve bootstrap ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT ⋮ TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN ⋮ Optimal Fractional Dickey–Fuller tests ⋮ A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION ⋮ A model of fractional cointegration, and tests for cointegration using the bootstrap. ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cites Work

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