A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES

DOI10.1017/S0266466608080274zbMath1284.62560OpenAlexW2042147672MaRDI QIDQ3632395

Søren Glud Johansen

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608080274

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Uses Software

• longmemo

Cites Work

• Time series: theory and methods.
• Inference on the cointegration rank in fractionally integrated processes.
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Fractional differencing
• Likelihood Analysis of the I(2) Model
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Error Correction Models for Fractionally Cointegrated Time Series
• Semiparametric fractional cointegration analysis
• Unnamed Item
• Unnamed Item

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