Exact local Whittle estimation of fractionally cointegrated systems

DOI10.1016/j.jeconom.2012.01.028zbMath1443.62238OpenAlexW2018752896MaRDI QIDQ528005

Katsumi Shimotsu

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/18681/070econDP10-11.pdf

zbMATH Keywords

discrete Fourier transformsemiparametric estimationlong memorynonstationarityfractional cointegrationWhittle likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Related Items (10)

Long-run comovements in East Asian stock market volatility ⋮ A multivariate test against spurious long memory ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Exact local Whittle estimation of fractionally cointegrated systems ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes

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