Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates

DOI10.1080/07474938.2014.956624MaRDI QIDQ5863575zbMATH OpenOpenAlexFDO

Authors Dayong Zhang, Marco R. Barassi, Jijun Tan

Publication date 3 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2014.956624

zbMATH Keywords

term structurefractional cointegrationlocal Whittle estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Determination of cointegrating rank in fractional systems.
• Exact local Whittle estimation of fractional integration
• Gaussian semiparametric estimation of long range dependence
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Local Whittle estimation in nonstationary and unit root cases.
• Local Whittle estimation of fractional integration and some of its variants
• Long memory relationships and the aggregation of dynamic models
• Modelling structural breaks, long memory and stock market volatility: an overview
• Nonlinear mean reversion in the term structure of interest rates
• Semiparametric fractional cointegration analysis
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing for unit roots in bounded time series

Cited in

(5)

• The Special Issue in Honor of Aman Ullah: An Overview
• Estimating the fractional order of integration of interest rates using a wavelet OLS estimator
• Testing for persistence change in fractionally integrated models: an application to world inflation rates
• A residual-based test for stochastic cointegration
• Residual-based test for fractional cointegration

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