Pages that link to "Item:Q1858968"

The following pages link to Inference on the cointegration rank in fractionally integrated processes. (Q1858968):

Displaying 35 items.

• Residual log-periodogram inference for long-run relationships (Q269403) (← links)
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes (Q275262) (← links)
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach (Q289172) (← links)
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series (Q292039) (← links)
• A test of the null of integer integration against the alternative of fractional integration (Q494391) (← links)
• Robust Dickey-Fuller tests based on ranks for time series with additive outliers (Q506584) (← links)
• Bias correction for the regression-based LM fractional integration test (Q732235) (← links)
• Likelihood based testing for no fractional cointegration (Q736557) (← links)
• A test for fractional cointegration using the sieve bootstrap (Q1019511) (← links)
• Testing for persistence change in fractionally integrated models: an application to world inflation rates (Q1623546) (← links)
• Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics (Q1695674) (← links)
• A model of fractional cointegration, and tests for cointegration using the bootstrap. (Q1858969) (← links)
• Estimating memory parameter in the US inflation rate (Q1927805) (← links)
• Asymptotic normal tests for integration in panels with cross-dependent units (Q2006894) (← links)
• A comparison of semiparametric tests for fractional cointegration (Q2065321) (← links)
• Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form (Q2294518) (← links)
• Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets (Q2347732) (← links)
• A Wald test for the cointegration rank in nonstationary fractional systems (Q2628844) (← links)
• Nonparametric cointegration analysis of fractional systems with unknown integration orders (Q2630204) (← links)
• (Q2971501) (← links)
• Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model (Q3019209) (← links)
• Efficient inference in multivariate fractionally integrated time series models (Q3156187) (← links)
• Optimal Fractional Dickey–Fuller tests (Q3422396) (← links)
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION (Q3434191) (← links)
• Fractional cointegration in the presence of linear trends (Q3552866) (← links)
• A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS (Q3580638) (← links)
• Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes (Q3615081) (← links)
• LONG MEMORY TESTING IN THE TIME DOMAIN (Q3632376) (← links)
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION (Q3632377) (← links)
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (Q3632395) (← links)
• HETEROSKEDASTICITY-ROBUST TESTING FOR A FRACTIONAL UNIT ROOT (Q3652625) (← links)
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN (Q3652627) (← links)
• Harmonically Weighted Processes (Q5111777) (← links)
• Finite sample performance of frequency- and time-domain tests for seasonal fractional integration (Q5218872) (← links)
• ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY (Q5349015) (← links)