On the robustness of cointegration tests when series are fractionally intergrated

DOI10.1080/02664760050120515zbMath1076.62550OpenAlexW1987525319MaRDI QIDQ4463296

Jesús Gonzalo, Tae-Hwy Lee

Publication date: 27 May 2004

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760050120515

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Spurious regression between long memory series due to mis-specified structural breaks ⋮ Inference on the cointegration rank in fractionally integrated processes.

Cites Work

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• Time series: theory and methods.
• Consistent autoregressive spectral estimates
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Fractional Unit Root Distribution
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Co-Integration and Error Correction: Representation, Estimation, and Testing