Fixed Bandwidth Inference for Fractional Cointegration (Q5226146)

scientific article; zbMATH DE number 7087244

Language	Label	Description	Also known as
English	Fixed Bandwidth Inference for Fractional Cointegration	scientific article; zbMATH DE number 7087244

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instance of

scholarly article

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title

Fixed Bandwidth Inference for Fractional Cointegration (English)

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Journal of Time Series Analysis

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publication date

30 July 2019

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full work available at URL

https://hdl.handle.net/2454/35940

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zbMATH Keywords

fixed bandwidth inference

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fractional cointegration

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narrow band least squares

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generalized least squares

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MaRDI profile type

MaRDI publication profile

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cites work

Nonstationarity-extended local Whittle estimation

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Inference with dependent data using cluster covariance estimators

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FIXED-b ASYMPTOTICS IN SINGLE-EQUATION COINTEGRATION MODELS WITH ENDOGENOUS REGRESSORS

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Estimating fractional cointegration in the presence of polynomial trends

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Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

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The asymptotic theory of linear time-series models

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Fractional Invariance Principle

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Small‐b and Fixed‐b Asymptotics for Weighted Covariance Estimation in Fractional Cointegration

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Fixed bandwidth asymptotics for the Studentized mean of fractionally integrated processes

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Root-\(n\)-consistent estimation of weak fractional cointegration

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Semiparametric inference in multivariate fractionally cointegrated systems

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ON THE BEHAVIOR OF FIXED-b TREND BREAK TESTS UNDER FRACTIONAL INTEGRATION

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t-Statistic Based Correlation and Heterogeneity Robust Inference

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Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)

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The Error in Rejection Probability of Simple Autocorrelation Robust Tests

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Statistical analysis of cointegration vectors

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Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

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HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE

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A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS

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Weak limit theorems for stochastic integrals and stochastic differential equations

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FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY

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Distribution theory for the Studentized mean for long, short, and negative memory time series

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Spectral Regression For Cointegrated Time Series With Long-Memory Innovations

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An Improved Formula for the Asymptotic Variance of Spectrum Estimates

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Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence

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Fully modified narrow‐band least squares estimation of weak fractional cointegration

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Q4015741

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Optimal Inference in Cointegrated Systems

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Cointegration in Fractional Systems with Unknown Integration Orders

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Cointegration in fractional systems with deterministic trends

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Narrow-band analysis of nonstationary processes

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A heteroskedasticity and autocorrelation robustFtest using an orthonormal series variance estimator

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Let's fix it: fixed-\(b\) asymptotics versus small-\(b\) asymptotics in heteroskedasticity and autocorrelation robust inference

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Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing

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Integrated modified OLS estimation and fixed-\(b\) inference for cointegrating regressions

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Fixed-smoothing asymptotics for time series

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Identifiers

zbMATH Open document ID

1435.62328

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5226146