Likelihood inference for a nonstationary fractional autoregressive model
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Publication:736555
DOI10.1016/J.JECONOM.2010.03.006zbMATH Open1431.62389OpenAlexW2170353114MaRDI QIDQ736555FDOQ736555
Authors: Morten Ørregaard Nielsen, Søren Johansen 
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://ageconsearch.umn.edu/record/273648
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22)
Cites Work
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- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- The Invariance Principle for Stationary Processes
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- Weak convergence of multivariate fractional processes
- Inference for unstable long-memory processes with applications to fractional unit root autoregressions
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- Efficient Tests of Nonstationary Hypotheses
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- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- Time Series Regression with a Unit Root
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- Efficient Wald Tests for Fractional Unit Roots
- Cointegration in Fractional Systems with Unknown Integration Orders
- A Fractional Dickey-Fuller Test for Unit Roots
Cited In (25)
- Nonparametric likelihood inference for general autoregressive models
- Adaptive long memory testing under heteroskedasticity
- Adaptive Inference in Heteroscedastic Fractional Time Series Models
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- The role of initial values in conditional sum-of-squares estimation of nonstationary fractional time series models
- A general inversion theorem for cointegration
- Truncated sum of squares estimation of fractional time series models with deterministic trends
- Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form
- Investigating volatility transmission across international equity markets using multivariate fractional models
- Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
- Nonstationary cointegration in the fractionally cointegrated VAR Model
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
- DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
- Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS
- Maximum likelihood estimation in the non-ergodic fractional Vasicek model
- Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases
- A generalised fractional differencing bootstrap for long memory processes
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