A model of fractional cointegration, and tests for cointegration using the bootstrap.
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Publication:1858969
DOI10.1016/S0304-4076(02)00092-1zbMath1038.62078WikidataQ57944340 ScholiaQ57944340MaRDI QIDQ1858969
Publication date: 17 February 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40)
Related Items (15)
Generating schemes for long memory processes: regimes, aggregation and linearity ⋮ Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Unnamed Item ⋮ Asymptotic inference results for multivariate long‐memory processes ⋮ Alternative bootstrap procedures for testing cointegration in fractionally integrated processes ⋮ A Wald test for the cointegration rank in nonstationary fractional systems ⋮ A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Likelihood based testing for no fractional cointegration ⋮ A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES ⋮ A test for fractional cointegration using the sieve bootstrap ⋮ Bootstrap testing for discontinuities under long-range dependence ⋮ A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION ⋮ Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates ⋮ Inference on the cointegration rank in fractionally integrated processes.
Uses Software
Cites Work
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