On the robustness of cointegration tests when series are fractionally intergrated

DOI10.1080/02664760050120515MaRDI QIDQ4463296zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

Cited in

(8)

• Spurious regression between long memory series due to mis-specified structural breaks
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• A looser cointegration concept using fractional integration parameters and quantification of market responsiveness
• Inference on the cointegration rank in fractionally integrated processes.
• The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• A time series paradox: unit root tests perform poorly when data are cointegrated
• A Wald test for the cointegration rank in nonstationary fractional systems

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