UNBALANCED COINTEGRATION
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Publication:3408520
DOI10.1017/S0266466606060361zbMATH Open1100.62084OpenAlexW4244253010MaRDI QIDQ3408520FDOQ3408520
Authors: Javier Hualde 
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466606060361
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)
Cites Work
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Multiple Time Series Regression with Integrated Processes
- Asymptotic inference for nearly nonstationary AR(1) processes
- Alternative forms of fractional Brownian motion
- Semiparametric analysis of long-memory time series
- Weak convergence of multivariate fractional processes
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- Averaged periodogram estimation of long memory
- Title not available (Why is that?)
- Optimal Inference in Cointegrated Systems
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- Regression Theory for Near-Integrated Time Series
- Cointegration in Fractional Systems with Unknown Integration Orders
- Non-stationary log-periodogram regression
- Narrow-band analysis of nonstationary processes
- Determination of cointegrating rank in fractional systems.
- The distance between rival nonstationary fractional processes
- Testing For Unit Roots: 1
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- Semiparametric fractional cointegration analysis
- Understanding spurious regressions in econometrics
- Maximum likelihood type estimation for nearly nonstationary autoregressive time series
- Consistent Testing of Cointegrating Relationships
- Spurios regression theory with nonstationary fractionally integrated processes
Cited In (9)
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- Root-\(n\)-consistent estimation of weak fractional cointegration
- Fixed bandwidth inference for fractional cointegration
- Weak convergence to a modified fractional Brownian motion
- Estimation of long-run parameters in unbalanced cointegration
- ASEAN economic community: analysis based on fractional integration and cointegration
- Cointegration in Fractional Systems with Unknown Integration Orders
- A representation theory for polynomial cofractionality in vector autoregressive models
- Disequilibrium and uncertainty in cointegrated systems
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