Residual-based test for fractional cointegration

DOI10.1016/J.ECONLET.2014.11.009MaRDI QIDQ498750zbMATH OpenOpenAlexFDO

Authors Man Wang, Ngai Hang Chan, Bin Wang

Publication date 29 September 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.11.009

zbMATH Keywords

fractional cointegrationMonte Carlo experimentresidual-based testasymptotic normal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• Likelihood based testing for no fractional cointegration
• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
• A comparison of semiparametric tests for fractional cointegration
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes

Cites work

• scientific article; zbMATH DE number 795280 (Why is no real title available?)
• A simple test for the equality of integration orders
• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Cointegration in Fractional Systems with Unknown Integration Orders
• Consistent Testing of Cointegrating Relationships
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• Multiple local Whittle estimation in stationary systems
• Narrow-band analysis of nonstationary processes
• Residual log-periodogram inference for long-run relationships
• Residual-based tests for factorial cointegration: A Monte Carlo study
• Semiparametric fractional cointegration analysis
• Weak convergence of multivariate fractional processes
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Cited in

(10)

• Stochastic integral convergence: a white noise calculus approach
• Evaluating multiplicative error models: a residual-based approach
• A case study of the residual-based cointegration procedure
• BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• Residual-based tests for factorial cointegration: A Monte Carlo study
• Likelihood based testing for no fractional cointegration
• Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
• On the maximum likelihood cointegration procedure under a fractional equilibrium error
• A comparison of semiparametric tests for fractional cointegration

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