Residual log-periodogram inference for long-run relationships

DOI10.1016/J.JECONOM.2005.03.001MaRDI QIDQ269403zbMATH OpenOpenAlexFDO

Authors F. Marmol, Uwe Hassler, Carlos Velasco

Publication date 18 April 2016

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

Full work available at URL http://hdl.handle.net/10016/4359

zbMATH Keywords

exchange ratessemiparametric inferencefractional cointegrationlong memorynon-stationaritylimiting normality

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

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Cited in

(17)

• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• Trend stationarity versus long-range dependence in time series analysis
• The role of long memory in hedging effectiveness
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Long-run covariability
• Cointegrating rank selection in models with time-varying variance
• Inference on the cointegration rank in fractionally integrated processes.
• Log-periodogram regression of time series with long range dependence
• Semi-parametric regression estimation of the tail index
• Residual-based test for fractional cointegration
• Exact local Whittle estimation of fractionally cointegrated systems
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• The Periodogram of fractional processes¹
• Cointegration in fractional systems with deterministic trends
• Tests of bias in log-periodogram regression

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