Root-n-consistent estimation of weak fractional cointegration
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Publication:451251
DOI10.1016/J.JECONOM.2006.07.004zbMATH Open1247.91138OpenAlexW3123693017MaRDI QIDQ451251FDOQ451251
Authors: Javier Hualde, Peter M. Robinson 
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
Recommendations
- Cointegration in Fractional Systems with Unknown Integration Orders
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- UNBALANCED COINTEGRATION
- Fractional cointegration in the presence of linear trends
- Exact local Whittle estimation of fractionally cointegrated systems
Statistical methods; economic indices and measures (91B82) Fractional derivatives and integrals (26A33)
Cites Work
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Semiparametric analysis of long-memory time series
- A limit theory for long-range dependence and statistical inference on related models
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- Optimal Inference in Cointegrated Systems
- Efficient Tests of Nonstationary Hypotheses
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- Cointegration in Fractional Systems with Unknown Integration Orders
- A Fractional Dickey-Fuller Test for Unit Roots
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- Non-stationary log-periodogram regression
- Narrow-band analysis of nonstationary processes
- Determination of cointegrating rank in fractional systems.
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- Gaussian Semiparametric Estimation of Non-stationary Time Series
- ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
- Semiparametric fractional cointegration analysis
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Broadband log-periodogram regression of time series with long-range dependence
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Martingale Central Limit Theorems
- Consistent Testing of Cointegrating Relationships
- A simple test for the equality of integration orders
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- Gaussian pseudo-maximum likelihood estimation of fractional time series models
Cited In (18)
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Multiple local Whittle estimation in stationary systems
- System Estimation of Panel Data Models Under Long-Range Dependence
- Cointegration in fractional systems with deterministic trends
- The distance between rival nonstationary fractional processes
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
- Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
- Fixed bandwidth inference for fractional cointegration
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
- Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration
- UNBALANCED COINTEGRATION
- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
- Estimation of long-run parameters in unbalanced cointegration
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- Semiparametric inference in multivariate fractionally cointegrated systems
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