ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS

DOI10.1017/S0266466600163029MaRDI QIDQ4512685zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

fractional cointegrationnonstationary errors

Mathematics Subject Classification ID

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

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Cited in

(7)

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

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