Residual log-periodogram inference for long-run relationships

DOI10.1016/J.JECONOM.2005.03.001zbMATH Open1337.62232OpenAlexW2045528145MaRDI QIDQ269403FDOQ269403

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

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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)

Cites Work

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• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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• Title not available (Why is that?)
• The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
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• THE DISTRIBUTION OF PERIODOGRAM ORDINATES
• Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
• NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION

Cited In (16)

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

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