Cointegration in Fractional Systems with Unknown Integration Orders

Cited In (46)

System Estimation of Panel Data Models Under Long-Range Dependence
Polynomial Cointegration Between Stationary Processes With Long Memory
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Cointegration in fractional systems with deterministic trends
The distance between rival nonstationary fractional processes
Fixed Bandwidth Inference for Fractional Cointegration
Root-\(n\)-consistent estimation of weak fractional cointegration
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration
Approximate state space modelling of unobserved fractional components
A bivariate fractionally cointegrated relationship in the context of cyclical structures
Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
Low-frequency robust cointegration testing
Testing for a break in trend when the order of integration is unknown
AUTOMATED DISCOVERY IN ECONOMETRICS
Instrumental variables estimation of stationary and non‐stationary cointegrating regressions
Nonparametric predictive regression
A looser cointegration concept using fractional integration parameters and quantification of market responsiveness
Likelihood inference for a nonstationary fractional autoregressive model
Likelihood based testing for no fractional cointegration
Weak convergence to a modified fractional Brownian motion
DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
Computationally efficient methods for two multivariate fractionally integrated models
Cointegration Rank Estimation for High-Dimensional Time Series With Breaks
Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
Consistent inference for predictive regressions in persistent economic systems
Fractional integration and deterministic trends. An investigation and an illustration with the US GNP
UNBALANCED COINTEGRATION
Estimation of long-run parameters in unbalanced cointegration
Nonparametric cointegration analysis of fractional systems with unknown integration orders
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
Likelihood inference for a fractionally cointegrated vector autoregressive model
A simple test for the equality of integration orders
Residual-based test for fractional cointegration
Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Nonstationary fractionally integrated functional time series
Gaussian pseudo-maximum likelihood estimation of fractional time series models
Identifying Cointegration by Eigenanalysis
DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
Modelling structural breaks, long memory and stock market volatility: an overview
A Wald test for the cointegration rank in nonstationary fractional systems
Asymptotic inference results for multivariate long‐memory processes
ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
Long-run covariance matrices for fractionally integrated processes
Optimal Fractional Dickey–Fuller tests
Semiparametric inference in multivariate fractionally cointegrated systems

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