On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
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Publication:6634848
DOI10.1080/07350015.2017.1294077zbMATH Open1548.62551MaRDI QIDQ6634848FDOQ6634848
Authors: Federico Carlini, Paolo Santucci de Magistris 
Publication date: 8 November 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Statistical analysis of cointegration vectors
- Semiparametric estimation of fractional cointegrating subspaces
- Exact local Whittle estimation of fractional integration
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Semiparametric Estimation of Multivariate Fractional Cointegration
- Determination of cointegrating rank in fractional systems.
- A Stastistical Analysis of Cointegration for I(2) Variables
- Inference on the cointegration rank in fractionally integrated processes.
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
- Some identification problems in the cointegrated vector autoregressive model
- Title not available (Why is that?)
- A representation theory for polynomial cofractionality in vector autoregressive models
- Likelihood inference for a nonstationary fractional autoregressive model
- Likelihood based testing for no fractional cointegration
- A Wald test for the cointegration rank in nonstationary fractional systems
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