ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS

DOI10.1017/S0266466600163029zbMATH Open0957.62054OpenAlexW1980093117MaRDI QIDQ4512685FDOQ4512685

Authors: Wen-Jen Tsay 

Publication date: 29 March 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466600163029

Recommendations

• Fractional cointegration in the presence of linear trends
• Linear Trend with Fractionally Integrated Errors
• Estimating fractional cointegration in the presence of polynomial trends
• Trend stationarity versus long-range dependence in time series analysis
• Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes

zbMATH Keywords

fractional cointegrationnonstationary errors

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (7)

• INFERENCE ON NONPARAMETRICALLY TRENDING TIME SERIES WITH FRACTIONAL ERRORS
• Inference on a structural break in trend with fractionally integrated errors
• Inference on the cointegration rank in fractionally integrated processes.
• Fractional cointegration in the presence of linear trends
• Estimation of a level shift in panel data with fractionally integrated errors
• Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes
• Estimating multiple breaks in mean sequentially with fractionally integrated errors

This page was built for publication: ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4512685)