Exact local Whittle estimation of fractionally cointegrated systems
DOI10.1016/J.JECONOM.2012.01.028zbMATH Open1443.62238OpenAlexW2018752896MaRDI QIDQ528005FDOQ528005
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
Recommendations
semiparametric estimationnonstationarityfractional cointegrationlong memorydiscrete Fourier transformWhittle likelihood
Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
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- Local Whittle estimation of fractional integration and some of its variants
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- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Multiple local Whittle estimation in stationary systems
- The spurious regression of fractionally integrated processes
- Exact local Whittle estimation of fractionally cointegrated systems
- Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
Cited In (17)
- Multiple local Whittle estimation in stationary systems
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
- Local Whittle estimation in nonstationary and unit root cases.
- Long-run comovements in East Asian stock market volatility
- Efficient tapered local Whittle estimation of multivariate fractional processes
- A comparison of semiparametric tests for fractional cointegration
- Semiparametric estimation of fractional cointegrating subspaces
- Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
- Local Whittle estimation of fractional integration for nonlinear processes
- Consistent inference for predictive regressions in persistent economic systems
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- A multivariate test against spurious long memory
- ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
- EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
- Exact local Whittle estimation of fractionally cointegrated systems
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