Residual-based test for fractional cointegration
From MaRDI portal
Publication:498750
DOI10.1016/J.ECONLET.2014.11.009zbMATH Open1378.62084OpenAlexW2016588564MaRDI QIDQ498750FDOQ498750
Authors: Man Wang, Ngai Hang Chan, Bin Wang 
Publication date: 29 September 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2014.11.009
Recommendations
- A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
- Likelihood based testing for no fractional cointegration
- Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
- A comparison of semiparametric tests for fractional cointegration
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Weak convergence of multivariate fractional processes
- Asymptotic Properties of Residual Based Tests for Cointegration
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- Cointegration in Fractional Systems with Unknown Integration Orders
- Title not available (Why is that?)
- Narrow-band analysis of nonstationary processes
- Residual log-periodogram inference for long-run relationships
- Residual-based tests for factorial cointegration: A Monte Carlo study
- Semiparametric fractional cointegration analysis
- Consistent Testing of Cointegrating Relationships
- A simple test for the equality of integration orders
- Multiple local Whittle estimation in stationary systems
- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
Cited In (10)
- Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
- Evaluating multiplicative error models: a residual-based approach
- A comparison of semiparametric tests for fractional cointegration
- A case study of the residual-based cointegration procedure
- Likelihood based testing for no fractional cointegration
- Stochastic integral convergence: a white noise calculus approach
- On the maximum likelihood cointegration procedure under a fractional equilibrium error
- Residual-based tests for factorial cointegration: A Monte Carlo study
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
This page was built for publication: Residual-based test for fractional cointegration
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q498750)
