No-cointegration test based on fractional differencing: Some Monte Carlo results

DOI10.1016/S0378-3758(98)00253-5MaRDI QIDQ1304366zbMATH OpenWikidataFDO

Authors V. Pereyra

Publication date 11 March 2001

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

time seriesMonte Carlo methodsfractional differencingGeweke-Porter-Hudak regressionno-cointegration test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• A Direct Test for Cointegration Between a Pair of Time Series
• Test for cointegration based on two-stage least squares
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Consistent Testing of Cointegrating Relationships
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes

Cites work

• scientific article; zbMATH DE number 52649 (Why is no real title available?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Fractional integration analysis of long-run behavior for US macroeconomic time series
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• 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?

Cited in

(3)

• scientific article; zbMATH DE number 5310465 (Why is no real title available?)
• Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
• Residual log-periodogram inference for long-run relationships

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