Root-\(n\)-consistent estimation of weak fractional cointegration
From MaRDI portal
Publication:451251
DOI10.1016/j.jeconom.2006.07.004zbMath1247.91138MaRDI QIDQ451251
Peter M. Robinson, Javier Hualde
Publication date: 23 September 2012
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.004
26A33: Fractional derivatives and integrals
91B82: Statistical methods; economic indices and measures
Related Items
Instrumental variables estimation of stationary and non‐stationary cointegrating regressions, The distance between rival nonstationary fractional processes, Cointegration in fractional systems with deterministic trends, Semiparametric inference in multivariate fractionally cointegrated systems, Multiple local Whittle estimation in stationary systems, Estimation of long-run parameters in unbalanced cointegration, Nonparametric cointegration analysis of fractional systems with unknown integration orders, Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory, DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION, FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS, A bivariate fractionally cointegrated relationship in the context of cyclical structures
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