Likelihood based testing for no fractional cointegration
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Cites work
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
- A joint test of fractional integration and structural breaks at a known period of time
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- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- Alternative forms of fractional Brownian motion
- Asymptotic Properties of Residual Based Tests for Cointegration
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- Cointegration in Fractional Systems with Unknown Integration Orders
- Consistent Testing of Cointegrating Relationships
- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
- Determination of cointegrating rank in fractional systems.
- Efficient Tests of Nonstationary Hypotheses
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Exact local Whittle estimation of fractional integration
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Inference on the cointegration rank in fractionally integrated processes.
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- On the maximum likelihood cointegration procedure under a fractional equilibrium error
- Pitfalls in testing for long run relationships
- Polynomial Cointegration Between Stationary Processes With Long Memory
- Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes
- Semiparametric estimation of fractional cointegrating subspaces
- Semiparametric fractional cointegration analysis
- Sign tests for long-memory time series
- Spectral regression for cointegrated time series with long-memory innovations
- Statistical analysis of cointegration vectors
- Weak convergence of multivariate fractional processes
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
Cited in
(11)- Testing the CVAR in the fractional CVAR model
- A Wald test for the cointegration rank in nonstationary fractional systems
- scientific article; zbMATH DE number 5310465 (Why is no real title available?)
- A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
- Residual-based test for fractional cointegration
- On the maximum likelihood cointegration procedure under a fractional equilibrium error
- The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
- Semiparametric inference in multivariate fractionally cointegrated systems
- A comparison of semiparametric tests for fractional cointegration
- On the Identification of Fractionally Cointegrated VAR Models With theF(d)Condition
- On the robustness of cointegration tests when series are fractionally intergrated
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