Pages that link to "Item:Q1858969"

The following pages link to A model of fractional cointegration, and tests for cointegration using the bootstrap. (Q1858969):

Displaying 15 items.

• Generating schemes for long memory processes: regimes, aggregation and linearity (Q265026) (← links)
• Modelling structural breaks, long memory and stock market volatility: an overview (Q265098) (← links)
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes (Q275262) (← links)
• Likelihood based testing for no fractional cointegration (Q736557) (← links)
• Bootstrap testing for discontinuities under long-range dependence (Q764501) (← links)
• A test for fractional cointegration using the sieve bootstrap (Q1019511) (← links)
• Inference on the cointegration rank in fractionally integrated processes. (Q1858968) (← links)
• A Wald test for the cointegration rank in nonstationary fractional systems (Q2628844) (← links)
• (Q2971501) (← links)
• Asymptotic inference results for multivariate long‐memory processes (Q3156191) (← links)
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION (Q3434191) (← 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)
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES (Q3632395) (← links)
• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates (Q5863575) (← links)