A bivariate fractionally cointegrated relationship in the context of cyclical structures

DOI10.1080/00949650802322111zbMATH Open1178.62098OpenAlexW2054820750MaRDI QIDQ3653255FDOQ3653255

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

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

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)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• DISTRIBUTIONS OF LEAST SQUARES ESTIMATORS OF AUTOREGRESSIVE PARAMETERS FOR A PROCESS WITH COMPLEX ROOTS ON THE UNIT CIRCLE
• Semiparametric estimation of fractional cointegrating subspaces
• Optimal Inference in Cointegrated Systems
• Asymptotic Properties of Residual Based Tests for Cointegration
• Efficient Tests of Nonstationary Hypotheses
• Semiparametric Estimation of Multivariate Fractional Cointegration
• Cointegration in Fractional Systems with Unknown Integration Orders
• A k-Factor GARMA Long-memory Model
• Long memory relationships and the aggregation of dynamic models
• Gaussian estimation of parametric spectral density with unknown pole
• Determination of cointegrating rank in fractional systems.
• Estimating a generalized long memory process
• A parametric bootstrap test for cycles
• ON GENERALIZED FRACTIONAL PROCESSES
• ON GENERALIZED FRACTIONAL PROCESSES – A CORRECTION
• Root-\(n\)-consistent estimation of weak fractional cointegration
• A GENERALIZED FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE PROCESS
• Semiparametric fractional cointegration analysis
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• MULTIVARIATE TIME SERIES WITH VARIOUS HIDDEN UNIT ROOTS, PART I
• Estimating long-range dependence in the presence of periodicity: An empirical study
• Estimation of the location and exponent of the spectral singularity of a long memory process
• Semiparametric estimation for stationary processes whose spectra have an unknown pole
• Testing stochastic cycles in macroeconomic time series
• COMPLEX UNIT ROOTS AND BUSINESS CYCLES: ARE THEY REAL?
• The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
• A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION

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

This page was built for publication: A bivariate fractionally cointegrated relationship in the context of cyclical structures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3653255)