scientific article; zbMATH DE number 88842
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Publication:4015741
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Cited in
(46)- The sampling distribution of forecasts from a first-order autoregression
- Low-pass filtered least squares estimators of cointegrating vectors
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Testing for a unit root by frequency domain regression
- Five alternative methods of estimating long-run equilibrium relationships
- Deciding between I(1) and I(0)
- Diagnostic test for structural change in cointegrated regression models
- Fully modified IV, GIVE and GMM estimation with possibly non-stationary regressors and instruments.
- Inference in a nearly integrated autoregressive model with nonnormal innovations
- Narrow-band analysis of nonstationary processes
- Note on bandwidth selection in testing for long range dependence.
- A CUSUM test for cointegration using regression residuals
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- Higher-order kernel semiparametric M-estimation of long memory
- Tests for the order of integration against higher order integration
- Spectral analysis of fractionally cointegrated systems
- A residual based test for the null hypothesis of cointegration.
- Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
- Regression-based analysis of cointegration systems
- Optimal estimation of cointegrated systems with irrelevant instruments
- Interpreting cointegrating vectors and common stochastic trends
- Cointegration in fractional systems with deterministic trends
- Fully modified least squares cointegrating parameter estimation in multicointegrated systems
- Spectral regression for cointegrated time series with long-memory innovations
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- SPECTRAL MAXIMUM LIKELIHOOD ESTIMATION OF A SIGNAL-TO-NOISE RATIO LYING IN THE VICINITY OF ZERO
- TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study
- Estimating systems of trending variables
- Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
- SPECTRAL FINANCIAL ECONOMETRICS
- Fixed bandwidth inference for fractional cointegration
- Dynamic misspecification in nonparametric cointegrating regression
- Robust inference in nonstationary time series models
- Band Spectral Regression with Trending Data
- Cointegration in functional autoregressive processes
- NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
- Semiparametric fractional cointegration analysis
- Predictive ability with cointegrated variables
- A simple cointegrating rank test without vector autoregression
- Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Cointegrating polynomial regressions: robustness of fully modified OLS
- Semiparametric inference in multivariate fractionally cointegrated systems
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