A comparison of semiparametric tests for fractional cointegration
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Publication:2065321
DOI10.1007/S00362-020-01169-1zbMATH Open1477.62250OpenAlexW3013303983WikidataQ123011088 ScholiaQ123011088MaRDI QIDQ2065321FDOQ2065321
Philipp Sibbertsen, Michelle Voges, Christian Leschinski
Publication date: 7 January 2022
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-020-01169-1
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Cited In (10)
- Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
- Semiparametric fractional cointegration analysis
- On the power of the KPSS test of stationarity against fractionally-integrated alternatives
- The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
- Testing for persistence change in fractionally integrated models: an application to world inflation rates
- Semiparametric Estimation of Multivariate Fractional Cointegration
- Title not available (Why is that?)
- On the robustness of cointegration tests when series are fractionally intergrated
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- A Wald test for the cointegration rank in nonstationary fractional systems
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