On the robustness of cointegration tests when series are fractionally intergrated

DOI10.1080/02664760050120515zbMATH Open0954.62026OpenAlexW1987525319MaRDI QIDQ4485103FDOQ4485103

Authors: Jack C. Lee, Kuo-Ching Liu 

Publication date: 20 November 2000

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

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

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zbMATH Keywords

forecastingMCMC samplingsimulations

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Inference from stochastic processes and prediction (62M20)

Cites Work

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

Cited In (5)

• Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises
• Bayesian analysis of growth curves with AR(1) dependence
• Bayesian analysis of a growth curve model with power transformation, random effects and AR(1) dependence
• Estimation and prediction of generalized growth curve with grouping variances in AR\((q)\) dependence structure
• Bayesian analysis of a growth curve model with a general autoregressive covariance structure

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