On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
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Publication:6634848
Cites work
- scientific article; zbMATH DE number 6193731 (Why is no real title available?)
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- A Stastistical Analysis of Cointegration for I(2) Variables
- A Wald test for the cointegration rank in nonstationary fractional systems
- A representation theory for polynomial cofractionality in vector autoregressive models
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
- Determination of cointegrating rank in fractional systems.
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
- Exact local Whittle estimation of fractional integration
- Inference on the cointegration rank in fractionally integrated processes.
- Likelihood based testing for no fractional cointegration
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Likelihood inference for a nonstationary fractional autoregressive model
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Semiparametric Estimation of Multivariate Fractional Cointegration
- Semiparametric estimation of fractional cointegrating subspaces
- Some identification problems in the cointegrated vector autoregressive model
- Statistical analysis of cointegration vectors
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