DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION

DOI10.1017/S0266466608080109MaRDI QIDQ3632377zbMATH OpenOpenAlexFDO

Authors Javier Hualde, Carlos I. Hoyos Velasco

Publication date 11 June 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608080109

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Linear regression; mixed models (62J05) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN

Cites work

• A semiparametric two-step estimator in a multivariate long memory model
• Alternative forms of fractional Brownian motion
• An enlarged definition of cointegration
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration in fractional systems with deterministic trends
• Cointegration in Fractional Systems with Unknown Integration Orders
• Consistent Testing of Cointegrating Relationships
• Determination of cointegrating rank in fractional systems.
• Efficient Tests of Nonstationary Hypotheses
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• Inference on the cointegration rank in fractionally integrated processes.
• Narrow-band analysis of nonstationary processes
• Residual log-periodogram inference for long-run relationships
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Semiparametric estimation of fractional cointegrating subspaces
• Semiparametric Estimation of Multivariate Fractional Cointegration
• Semiparametric fractional cointegration analysis
• Statistical analysis of cointegration vectors
• The distance between rival nonstationary fractional processes
• Vector linear time series models
• Weak convergence of multivariate fractional processes

Cited in

(13)

• The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
• Inference on the cointegration rank in fractionally integrated processes.
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• A comparison of semiparametric tests for fractional cointegration
• A Wald test for the cointegration rank in nonstationary fractional systems
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• On the robustness of cointegration tests when series are fractionally intergrated
• Residual-based test for fractional cointegration
• Consistent Testing of Cointegrating Relationships
• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
• On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
• Testing for fractional cointegration in subsamples by allowing for structural breaks
• Likelihood based testing for no fractional cointegration

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