The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size

DOI10.1007/s10614-004-3544-xzbMath1062.62168OpenAlexW1968543913MaRDI QIDQ1780874

Valérie Mignon, Emmanuel Dubois, Sandrine Lardic

Publication date: 14 June 2005

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-004-3544-x

Mathematics Subject Classification ID

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

Related Items (1)

A bivariate fractionally cointegrated relationship in the context of cyclical structures

Uses Software

• ARFIMA

Cites Work

• Efficient parameter estimation for self-similar processes
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Small sample effects in time series analysis: A new asymptotic theory and a new estimate
• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Long memory processes and fractional integration in econometrics
• Residual-Based Tests For Fractional Cointegration: A Monte Carlo Study
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• A Nonparametric Test for I(0)
• Long-Term Memory in Stock Market Prices

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