On the robustness of cointegration tests when series are fractionally intergrated

DOI10.1080/02664760050120515MaRDI QIDQ4485103zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Bayesian analysis of a growth curve model with power transformation, random effects and AR(1) dependence
• Bayesian analysis of growth curves with AR(1) dependence
• Bayesian analysis of a growth curve model with a general autoregressive covariance structure
• On an unbalanced growth curve model with random effects and AR(1) errors from a Bayesian and the ML points of view.

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

(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

This page was built for publication: On the robustness of cointegration tests when series are fractionally intergrated

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4485103)