Consumption, aggregate wealth and expected stock returns: an FCVAR approach
From MaRDI portal
Publication:2046049
DOI10.1515/jtse-2020-0029OpenAlexW3116058812MaRDI QIDQ2046049
Publication date: 17 August 2021
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jtse-2020-0029
cointegrationfractional integrationfractional cointegrationlikelihood inferencevector autoregressive modelcay
Related Items
Uses Software
Cites Work
- Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
- Likelihood inference for a nonstationary fractional autoregressive model
- Long memory relationships and the aggregation of dynamic models
- On large-sample estimation for the mean of a stationary random sequence
- Determination of cointegrating rank in fractional systems.
- Exact local Whittle estimation of fractional integration
- THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Testing the CVAR in the Fractional CVAR Model
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Nonstationary Cointegration in the Fractionally Cointegrated VAR Model
- Semiparametric fractional cointegration analysis