Spectral analysis of fractionally cointegrated systems

DOI10.1016/J.ECONLET.2003.10.017zbMath1254.91681OpenAlexW3125498299MaRDI QIDQ1927489

Morten Ørregaard Nielsen

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.10.017

zbMATH Keywords

frequency domainfractional cointegrationreduced rankcommon stochastic trendzero-frequency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (6)

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ A Wald test for the cointegration rank in nonstationary fractional systems ⋮ Mixed-correlated ARFIMA processes for power-law cross-correlations ⋮ Noncontemporaneous cointegration and the importance of timing ⋮ Wavelet variance ratio cointegration test and wavestrapping ⋮ A comparison of semiparametric tests for fractional cointegration

Cites Work

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• Testing for cointegration using principal components methods
• Alternative forms of fractional Brownian motion
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• Determination of cointegrating rank in fractional systems.
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Cointegration in frequency domain

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