ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
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Publication:4512739
DOI10.1017/S0266466699154057zbMATH Open0985.62070OpenAlexW2101190872MaRDI QIDQ4512739FDOQ4512739
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
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Cited In (27)
- ASYMPTOTICS FOR COINTEGRATED PROCESSES WITH INFREQUENT STOCHASTIC LEVEL SHIFTS AND OUTLIERS
- Cointegration in fractional systems with deterministic trends
- The distance between rival nonstationary fractional processes
- Alternative forms of fractional Brownian motion
- Root-\(n\)-consistent estimation of weak fractional cointegration
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Estimating fractional cointegration in the presence of polynomial trends
- Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
- Narrow-band analysis of nonstationary processes
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Inference on a structural break in trend with fractionally integrated errors
- Asymptotic inference for semimartingale models with singular parameter points
- Inference on the cointegration rank in fractionally integrated processes.
- Asymptotic minimax results for stochastic process families with critical points
- Fractional cointegration in the presence of linear trends
- Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance
- The power of residual-based tests for cointegration when residuals are fractionally integrated
- Estimation of long-run parameters in unbalanced cointegration
- Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
- ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
- Bias Correction of Persistence Measures in Fractionally Integrated Models
- Modelling structural breaks, long memory and stock market volatility: an overview
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
- First-order bias correction for fractionally integrated time series
- Semiparametric inference in multivariate fractionally cointegrated systems
- Efficient inference in multivariate fractionally integrated time series models
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