Cointegration in fractional systems with deterministic trends
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Publication:265117
DOI10.1016/J.JECONOM.2004.09.009zbMATH Open1335.62144OpenAlexW2065147055MaRDI QIDQ265117FDOQ265117
Authors: Peter M. Robinson, Fabrizio Iacone 
Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/2232/1/Cointegration_in_Fractional_Systems_with_Deterministic_Trends.pdf
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Cited In (20)
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Estimating fractional cointegration in the presence of polynomial trends
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- Testing for a break in trend when the order of integration is unknown
- Determination of cointegrating rank in fractional systems.
- A looser cointegration concept using fractional integration parameters and quantification of market responsiveness
- Fixed bandwidth inference for fractional cointegration
- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
- Fractional integration and deterministic trends. An investigation and an illustration with the US GNP
- Fractional cointegration in the presence of linear trends
- Fractional Cointegration
- Robust testing of time trend and mean with unknown integration order errors
- Modelling structural breaks, long memory and stock market volatility: an overview
- Estimating systems of trending variables
- Cointegration in Fractional Systems with Unknown Integration Orders
- On the behavior of fixed-\(b\) trend break tests under fractional integration
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Semiparametric inference in multivariate fractionally cointegrated systems
- Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
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