Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
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Publication:289172
DOI10.1016/J.JECONOM.2006.10.008zbMATH Open1418.62344OpenAlexW2004917856MaRDI QIDQ289172FDOQ289172
Authors: Morten Ørregaard Nielsen, Katsumi Shimotsu 
Publication date: 27 May 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://ageconsearch.umn.edu/record/273467
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semiparametric estimationnonstationaritycointegration rankfractional cointegrationfractional integrationlong memoryexact local Whittle estimator
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84) Inference from stochastic processes and spectral analysis (62M15)
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Cited In (19)
- Adaptive long memory testing under heteroskedasticity
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- High-Dimensional Cointegration and Kuramoto Inspired Systems
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
- Long-run comovements in East Asian stock market volatility
- A comparison of semiparametric tests for fractional cointegration
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- Determination of cointegrating rank in fractional systems.
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- Cointegrating rank selection in models with time-varying variance
- A multivariate time series approach to projected life tables
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- Local Whittle estimation of multi-variate fractionally integrated processes
- A Wald test for the cointegration rank in nonstationary fractional systems
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
- Semiparametric inference in multivariate fractionally cointegrated systems
- Exact local Whittle estimation of fractionally cointegrated systems
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