Monitoring breaks in fractional cointegration

DOI10.1080/03610926.2025.2581247MaRDI QIDQ7261567zbMATH OpenFDO

Authors Maik Dierkes, Krischan Fitter, Philipp Sibbertsen

Publication date 10 June 2026

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/03610926.2025.2581247

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Two estimators of the long-run variance: beyond short memory

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