Nonparametric cointegration analysis of fractional systems with unknown integration orders

DOI10.1016/j.jeconom.2009.10.002zbMath1431.62405OpenAlexW3125486831MaRDI QIDQ2630204

Morten Ørregaard Nielsen

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ageconsearch.umn.edu/record/273650/files/qed_wp_1174.pdf

zbMATH Keywords

interest rateslong memoryterm structurenonparametricvariance ratiocointegration rankfractional integration and cointegrationcointegration space

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (11)

A unifying theory of tests of rank ⋮ Wavelet variance ratio cointegration test and wavestrapping ⋮ Inference in Heavy-Tailed Nonstationary Multivariate Time Series ⋮ INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ Powerful nonparametric seasonal unit root tests ⋮ Powerful Unit Root Tests Free of Nuisance Parameters ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ Non-parametric seasonal unit root tests under periodic non-stationary volatility ⋮ Wavelet energy ratio unit root tests ⋮ On the performance of the variance ratio unit root tests with flexible Fourier form ⋮ Approximate state space modelling of unobserved fractional components

Uses Software

• Ox

Cites Work

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