Efficient inference in multivariate fractionally integrated time series models

DOI10.1111/J.1368-423X.2004.00122.XMaRDI QIDQ3156187zbMATH OpenOpenAlexFDO

Authors Morten Ørregaard Nielsen

Publication date 6 January 2005

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2004.00122.x

zbMATH Keywords

finite sample performancelocal alternativeLR testmultivariate ARFIMA modelmultivariate fractional unit root test

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

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Cites work

• A Fractional Dickey-Fuller Test for Unit Roots
• Alternative forms of fractional Brownian motion
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• Inference on the cointegration rank in fractionally integrated processes.
• ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
• Statistical analysis of cointegration vectors
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Testing the null of stationarity for multiple time series
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• Weak convergence of multivariate fractional processes

Cited in

(9)

• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• A multivariate long-memory model with structural breaks
• Technology shocks and hours worked: a fractional integration perspective
• scientific article; zbMATH DE number 2143293 (Why is no real title available?)
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
• Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries
• Approximate state space modelling of unobserved fractional components
• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

Describes a project that uses

Uses Software

• ARFIMA
• Ox

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