UNBALANCED COINTEGRATION
From MaRDI portal
Recommendations
Cites work
- Alternative forms of fractional Brownian motion
- Asymptotic inference for nearly nonstationary AR(1) processes
- Averaged periodogram estimation of long memory
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Cointegration in Fractional Systems with Unknown Integration Orders
- Consistent Testing of Cointegrating Relationships
- Determination of cointegrating rank in fractional systems.
- Gaussian semiparametric estimation of long range dependence
- Gaussian Semiparametric Estimation of Non-stationary Time Series
- scientific article; zbMATH DE number 3860263 (Why is no real title available?)
- Log-periodogram regression of time series with long range dependence
- Maximum likelihood type estimation for nearly nonstationary autoregressive time series
- Multiple Time Series Regression with Integrated Processes
- Narrow-band analysis of nonstationary processes
- Non-stationary log-periodogram regression
- On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots
- Optimal Inference in Cointegrated Systems
- Regression Theory for Near-Integrated Time Series
- Semiparametric analysis of long-memory time series
- Semiparametric fractional cointegration analysis
- Spurios regression theory with nonstationary fractionally integrated processes
- Testing For Unit Roots: 1
- The distance between rival nonstationary fractional processes
- Understanding spurious regressions in econometrics
- Weak convergence of multivariate fractional processes
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
Cited in
(10)- Estimation of long-run parameters in unbalanced cointegration
- Weak convergence to a modified fractional Brownian motion
- A representation theory for polynomial cofractionality in vector autoregressive models
- Root-\(n\)-consistent estimation of weak fractional cointegration
- Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
- ASEAN economic community: analysis based on fractional integration and cointegration
- Fixed bandwidth inference for fractional cointegration
- Cointegration in Fractional Systems with Unknown Integration Orders
- Disequilibrium and uncertainty in cointegrated systems
- Assessing volatility persistence in fractional Heston models with self-exciting jumps
This page was built for publication: UNBALANCED COINTEGRATION
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3408520)
