Residual log-periodogram inference for long-run relationships

DOI10.1016/j.jeconom.2005.03.001zbMath1337.62232OpenAlexW2045528145MaRDI QIDQ269403

Carlos Velasco, Francesc Marmol, Uwe Hassler

Publication date: 18 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/4359

zbMATH Keywords

long memoryexchange ratesfractional cointegrationlimiting normalitynon-stationaritysemiparametric inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

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Cointegration in fractional systems with deterministic trends ⋮ Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ Nonparametric frequency domain analysis of nonstationary multivariate time series ⋮ Semi-parametric regression estimation of the tail index ⋮ Residual-based test for fractional cointegration ⋮ Cointegrating rank selection in models with time-varying variance ⋮ Exact local Whittle estimation of fractionally cointegrated systems ⋮ The Periodogram of fractional processes¹ ⋮ DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION ⋮ The role of long memory in hedging effectiveness ⋮ Tests of bias in log-periodogram regression ⋮ A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION ⋮ Inference on the cointegration rank in fractionally integrated processes. ⋮ A model of fractional cointegration, and tests for cointegration using the bootstrap. ⋮ Trend stationarity versus long-range dependence in time series analysis

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