Fully modified narrow‐band least squares estimation of weak fractional cointegration

DOI10.1111/j.1368-423X.2010.00323.xzbMath1218.62095OpenAlexW1607052612MaRDI QIDQ3018490

Per Frederiksen, Morten Ørregaard Nielsen

Publication date: 27 July 2011

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2010.00323.x

zbMATH Keywords

frequency domainlong memorysemi-parametricfully modified estimation

Mathematics Subject Classification ID

Related Items (15)

DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES ⋮ Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination ⋮ Estimation of long-run parameters in unbalanced cointegration ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany ⋮ Semiparametric inference in multivariate fractionally cointegrated systems ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Fixed Bandwidth Inference for Fractional Cointegration ⋮ A comparison of semiparametric tests 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 ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS ⋮ Testing for parameter instability and structural change in persistent predictive regressions

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