Noncontemporaneous cointegration and the importance of timing

DOI10.1016/J.ECONLET.2004.07.004zbMath1254.91682OpenAlexW1994570609MaRDI QIDQ1927729

Morten Ørregaard Nielsen

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.07.004

zbMATH Keywords

frequency domaintimingfractional cointegrationzero frequencynoncontemporaneous cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• Alternative forms of fractional Brownian motion
• Determination of cointegrating rank in fractional systems.
• Spectral analysis of fractionally cointegrated systems
• Asymptotic inference results for multivariate long‐memory processes
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

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