First stage estimation of fractional cointegration

DOI10.1515/1941-1928.1129MaRDI QIDQ4928550zbMATH OpenOpenAlexFDO

Authors Javier Hualde, Fabrizio Iacone

Publication date 14 June 2013

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/1941-1928.1129

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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• Fractional Cointegration
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Cited in

(4)

• Fully modified narrow-band least squares estimation of weak fractional cointegration
• First-order bias correction for fractionally integrated time series
• Fractional Cointegration
• Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration

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