Spectral analysis of fractionally cointegrated systems

DOI10.1016/J.ECONLET.2003.10.017MaRDI QIDQ1927489zbMATH OpenOpenAlexFDO

Authors Morten Ørregaard Nielsen

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2003.10.017

zbMATH Keywords

common stochastic trendfractional cointegrationfrequency domainreduced rankzero-frequency

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

• Cointegration in frequency domain
• Fractional Cointegration
• A bivariate fractionally cointegrated relationship in the context of cyclical structures
• Semiparametric fractional cointegration analysis
• Determination of cointegrating rank in fractional systems.

Cites work

• Alternative forms of fractional Brownian motion
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Cointegration in frequency domain
• Determination of cointegrating rank in fractional systems.
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 88842 (Why is no real title available?)
• scientific article; zbMATH DE number 3454717 (Why is no real title available?)
• Nonparametric frequency domain analysis of nonstationary multivariate time series
• Testing for cointegration using principal components methods

Cited in

(11)

• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Noncontemporaneous cointegration and the importance of timing
• A comparison of semiparametric tests for fractional cointegration
• Wavelet variance ratio cointegration test and wavestrapping
• A Wald test for the cointegration rank in nonstationary fractional systems
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• A bivariate fractionally cointegrated relationship in the context of cyclical structures
• Cointegration in frequency domain
• Fixed bandwidth inference for fractional cointegration
• Extreme Spectra of Var Models and Orders of Near‐Cointegration
• The Estimation and Testing of the Cointegration Order Based on the Frequency Domain

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