A test for fractional cointegration using the sieve bootstrap

DOI10.1007/s10260-007-0065-5zbMath1367.62256OpenAlexW2021707849MaRDI QIDQ1019511

Isabella Procidano, Margherita Gerolimetto

Publication date: 2 June 2009

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-007-0065-5

zbMATH Keywords

long memoryfractional cointegrationsieve bootstrap

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (1)

Bootstrap tests for fractional integration and cointegration: a comparison study

Uses Software

• R
• longmemo

Cites Work

• Unnamed Item
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