Likelihood based testing for no fractional cointegration
DOI10.1016/J.JECONOM.2010.03.008zbMATH Open1431.62395OpenAlexW3125897609MaRDI QIDQ736557FDOQ736557
Authors: Katarzyna Łasak 
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.008
Recommendations
maximum likelihood estimationlikelihood ratio testsfractional Brownian motionfractional cointegrationerror correction modelGaussian VAR model
Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07)
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Cited In (9)
- A comparison of semiparametric tests for fractional cointegration
- The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- On the maximum likelihood cointegration procedure under a fractional equilibrium error
- Title not available (Why is that?)
- On the robustness of cointegration tests when series are fractionally intergrated
- A Wald test for the cointegration rank in nonstationary fractional systems
- A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
- Semiparametric inference in multivariate fractionally cointegrated systems
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