Efficient inference in multivariate fractionally integrated time series models

DOI10.1111/j.1368-423X.2004.00122.xzbMath1094.91054MaRDI QIDQ3156187

Morten Ørregaard Nielsen

Publication date: 6 January 2005

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

zbMATH Keywords

LR test; local alternative; finite sample performance; multivariate ARFIMA model; multivariate fractional unit root test

Mathematics Subject Classification ID

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures

Related Items

Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries, A multivariate long-memory model with structural breaks, TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE

Uses Software

• Ox
• ARFIMA

Cites Work

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• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Statistical analysis of cointegration vectors
• Alternative forms of fractional Brownian motion
• Testing the null of stationarity for multiple time series
• Weak convergence of multivariate fractional processes
• Inference on the cointegration rank in fractionally integrated processes.
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
• A Fractional Dickey-Fuller Test for Unit Roots