On the robustness of cointegration tests when series are fractionally intergrated
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Publication:4485103
DOI10.1080/02664760050120515zbMath0954.62026OpenAlexW1987525319MaRDI QIDQ4485103
Publication date: 20 November 2000
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664760050120515
Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
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Cites Work
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Time series: theory and methods.
- Consistent autoregressive spectral estimates
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Fractional Unit Root Distribution
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Co-Integration and Error Correction: Representation, Estimation, and Testing