Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes

DOI10.1111/J.1467-9892.2007.00534.XMaRDI QIDQ3505333zbMATH OpenOpenAlexFDO

Authors Wen-Jen Tsay

Publication date 18 June 2008

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00534.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
• Spurios regression theory with nonstationary fractionally integrated processes
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Fractional cointegration in the presence of linear trends

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Inference-Without-Smoothing in the Presence of Nonparametric Autocorrelation
• Nonparametric Test for Causality with Long-range Dependence
• Spectral regression for cointegrated time series with long-memory innovations
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• The distance between rival nonstationary fractional processes
• The Fractional Unit Root Distribution
• Time Series Regression with a Unit Root
• Time series regression with long-range dependence
• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Cited in

(5)

• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• The periodogram regression:correction and comments
• ESTIMATING TRENDING VARIABLES IN THE PRESENCE OF FRACTIONALLY INTEGRATED ERRORS
• Spurious correlation under fractional integration in output series

This page was built for publication: Using Difference-Based Methods for Inference in Regression with Fractionally Integrated Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3505333)