ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS

DOI10.1017/S0266466699154057MaRDI QIDQ4512739zbMATH OpenOpenAlexFDO

Authors P. Jeganathan

Publication date 23 May 2002

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466699154057

zbMATH Keywords

asymptoticsfractional cointegration

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(29)

• Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
• Asymptotic minimax results for stochastic process families with critical points
• Likelihood inference for a fractionally cointegrated vector autoregressive model
• Alternative forms of fractional Brownian motion
• Asymptotic inference for semimartingale models with singular parameter points
• Estimating fractional cointegration in the presence of polynomial trends
• Narrow-band analysis of nonstationary processes
• Inference on the cointegration rank in fractionally integrated processes.
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• The power of residual-based tests for cointegration when residuals are fractionally integrated
• Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Estimation of long-run parameters in unbalanced cointegration
• The distance between rival nonstationary fractional processes
• Modelling structural breaks, long memory and stock market volatility: an overview
• Cointegration in fractional systems with deterministic trends
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Inference on a structural break in trend with fractionally integrated errors
• Efficient inference in multivariate fractionally integrated time series models
• Bias Correction of Persistence Measures in Fractionally Integrated Models
• Fractional cointegration in the presence of linear trends
• ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
• First-order bias correction for fractionally integrated time series
• scientific article; zbMATH DE number 1064655 (Why is no real title available?)
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• Root-\(n\)-consistent estimation of weak fractional cointegration
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
• Semiparametric inference in multivariate fractionally cointegrated systems

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