Spectral analysis of fractionally cointegrated systems

DOI10.1016/j.econlet.2003.10.017zbMath1254.91681MaRDI QIDQ1927489

Morten Ørregaard Nielsen

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.10.017

zbMATH Keywords

frequency domain; fractional cointegration; reduced rank; common stochastic trend; zero-frequency

Mathematics Subject Classification ID

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

62M15: Inference from stochastic processes and spectral analysis

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

Related Items

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach, Mixed-correlated ARFIMA processes for power-law cross-correlations, Noncontemporaneous cointegration and the importance of timing, A comparison of semiparametric tests for fractional cointegration, Wavelet variance ratio cointegration test and wavestrapping, A Wald test for the cointegration rank in nonstationary fractional systems

Cites Work

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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Cointegration in frequency domain