Semiparametric fractional cointegration analysis
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Cites work
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Cited in
(66)- A test for fractional cointegration using the sieve bootstrap
- Multivariate modelling of long memory processes with common components
- Nonparametric frequency domain analysis of nonstationary multivariate time series
- Estimating fractional cointegration in the presence of polynomial trends
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
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- Narrow-band analysis of nonstationary processes
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- Trend stationarity versus long-range dependence in time series analysis
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- Frequency domain bootstrap for the fractional cointegration regression
- A weighted sieve estimator for nonparametric time series models with nonstationary variables
- Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
- Consumption, aggregate wealth and expected stock returns: an FCVAR approach
- A comparison of semiparametric tests for fractional cointegration
- When will the Covid-19 pandemic peak?
- A semiparametric approach to estimate two seasonal fractional parameters in the SARFIMA model
- Efficient tapered local Whittle estimation of multivariate fractional processes
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- Diagnostic testing for cointegration
- Definitions and representations of multivariate long-range dependent time series
- Fully modified narrow-band least squares estimation of weak fractional cointegration
- Asymptotic inference results for multivariate long‐memory processes
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- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
- Fractional cointegration in the presence of linear trends
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- DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
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- Root-\(n\)-consistent estimation of weak fractional cointegration
- Consumption, aggregate wealth and expected stock returns: a fractional cointegration approach
- Gaussian Semi‐parametric Estimation of Fractional Cointegration
- Testing catching-up between the developing countries: ``Growth resistance and sometimes ``growth tragedy
- Residual-based test for fractional cointegration
- SPECTRAL FINANCIAL ECONOMETRICS
- Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004
- Residual-Based Tests for Fractional Cointegration: Testing the Term Structure of Interest Rates
- Semiparametric fractional cointegration analysis
- Robust inference of panel data models with interactive fixed effects under long memory: a frequency domain approach
- Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks
- The Estimation and Testing of the Cointegration Order Based on the Frequency Domain
- Fractionally integrated curve time series with cointegration
- Parameter estimation for fractional autoregressive process with seasonal structure
- The modified conditional sum-of-squares estimator for fractionally integrated models
- Semiparametric inference in multivariate fractionally cointegrated systems
- Likelihood based testing for no fractional cointegration
- An omnibus noise filter
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