No-cointegration test based on fractional differencing: Some Monte Carlo results

DOI10.1016/S0378-3758(98)00253-5zbMath0956.62088WikidataQ128066175 ScholiaQ128066175MaRDI QIDQ1304366

V. Pereyra

Publication date: 11 March 2001

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

time seriesMonte Carlo methodsfractional differencingGeweke-Porter-Hudak regressionno-cointegration test

Mathematics Subject Classification ID

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

Related Items (2)

Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets ⋮ Residual log-periodogram inference for long-run relationships

Cites Work

• Unnamed Item
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Fractional integration analysis of long-run behavior for US macroeconomic time series
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
• ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
• Co-Integration and Error Correction: Representation, Estimation, and Testing

This page was built for publication: No-cointegration test based on fractional differencing: Some Monte Carlo results