Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
From MaRDI portal
Publication:125805
DOI10.3982/ecta9299zbMath1274.62598OpenAlexW3123551008MaRDI QIDQ125805
Morten Ørregaard Nielsen, Søren Glud Johansen
Publication date: 2012
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta9299
fractional cointegrationlikelihood inferencecointegration rankvector autoregressive modelcofractional processes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)
Related Items
Unnamed Item, Truncated sum-of-squares estimation of fractional time series models with generalized power law trend, CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS, The cointegrated vector autoregressive model with general deterministic terms, Resiliency of the limit order book, A unifying theory of tests of rank, Investigating volatility transmission across international equity markets using multivariate fractional models, Modeling bivariate long‐range dependence with general phase, The market impact of a limit order, THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS, Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination, A FAST FRACTIONAL DIFFERENCE ALGORITHM, Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models, fracdist, Long memory interdependency and inefficiency in bitcoin markets, Estimation of long-run parameters in unbalanced cointegration, Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes, Consistent inference for predictive regressions in persistent economic systems, Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form, Consumption, aggregate wealth and expected stock returns: an FCVAR approach, Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction, Nonstationary Cointegration in the Fractionally Cointegrated VAR Model, Fixed Bandwidth Inference for Fractional Cointegration, The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility, Modelling systems with a mixture of \(I(d)\) and \(I(0)\) variables using the fractionally co-integrated VAR model, A comparison of semiparametric tests for fractional cointegration, Pseudo-maximum likelihood estimators in linear regression models with fractional time series, Theory and applications of financial chaos index, Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration, A general inversion theorem for cointegration, Testing for parameter instability and structural change in persistent predictive regressions, Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
- Weak convergence of multivariate fractional processes
- Inference for unstable long-memory processes with applications to fractional unit root autoregressions
- Long memory processes and fractional integration in econometrics
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- The Fractional Unit Root Distribution
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Asymptotic Statistics
- Efficient Tests of Nonstationary Hypotheses
- Foundations of Modern Probability
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Time Series Regression with a Unit Root
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- Efficient Wald Tests for Fractional Unit Roots
- Cointegration in Fractional Systems with Unknown Integration Orders
- A Fractional Dickey-Fuller Test for Unit Roots
- The Invariance Principle for Stationary Processes