Testing for cointegration at any frequency using spectral methods
DOI10.1007/BF02589039zbMATH Open1446.62240OpenAlexW2072658750MaRDI QIDQ3598296FDOQ3598296
Authors: Gianluca Cubadda 
Publication date: 3 February 2009
Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02589039
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Seasonal integration and cointegration
- Title not available (Why is that?)
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Statistical analysis of cointegration vectors
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
- Seasonal cointegration. The Japanese consumption function (with discussion)
- Title not available (Why is that?)
- Testing for cointegration using principal components methods
- Maximum likelihood inference on cointegration and seasonal cointegration
- TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
Cited In (8)
- Cointegration in frequency domain
- Title not available (Why is that?)
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
- Low-frequency robust cointegration testing
- Cointegration in high frequency data
- Pre-selection in cointegration-based pairs trading
- TESTS FOR SEASONAL COINTEGRATION USING PRINCIPAL COMPONENTS
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
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