A bivariate fractionally cointegrated relationship in the context of cyclical structures

DOI10.1080/00949650802322111MaRDI QIDQ3653255zbMATH OpenOpenAlexFDO

Authors Luis A. Gil-Alana

Publication date 22 December 2009

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650802322111

zbMATH Keywords

long memoryfractional cyclical cointegrationfractional cyclical integration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82)

Recommendations

• Spectral analysis of fractionally cointegrated systems
• Determination of cointegrating rank in fractional systems.
• Cointegration in Fractional Systems with Unknown Integration Orders
• Testing for cointegration at any frequency using spectral methods
• Semiparametric fractional cointegration analysis

Cites work

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• A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
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• Asymptotic Properties of Residual Based Tests for Cointegration
• COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration in Fractional Systems with Unknown Integration Orders
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• Long memory relationships and the aggregation of dynamic models
• MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
• ON GENERALIZED FRACTIONAL PROCESSES
• ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
• Optimal Inference in Cointegrated Systems
• Root-\(n\)-consistent estimation of weak fractional cointegration
• Semiparametric Estimation of Multivariate Fractional Cointegration
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Semiparametric estimation of fractional cointegrating subspaces
• Semiparametric fractional cointegration analysis
• Testing stochastic cycles in macroeconomic time series
• The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size

Cited in

(3)

• Cointegration in frequency domain
• On the relationship between the theory of cointegration and the theory of phase synchronization
• Spectral analysis of fractionally cointegrated systems

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