Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach

DOI10.1016/j.jeconom.2006.10.008zbMath1418.62344OpenAlexW2004917856MaRDI QIDQ289172

Morten Ørregaard Nielsen, Katsumi Shimotsu

Publication date: 27 May 2016

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

Full work available at URL: http://ageconsearch.umn.edu/record/273467

zbMATH Keywords

semiparametric estimationfractional integrationlong memorynonstationarityfractional cointegrationcointegration rankexact local Whittle estimator

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) Economic time series analysis (91B84)

Related Items (16)

A Wald test for the cointegration rank in nonstationary fractional systems ⋮ Nonparametric cointegration analysis of fractional systems with unknown integration orders ⋮ CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ Long-run comovements in East Asian stock market volatility ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ A multivariate time series approach to projected life tables ⋮ Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination ⋮ Cointegrating rank selection in models with time-varying variance ⋮ Exact local Whittle estimation of fractionally cointegrated systems ⋮ Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes ⋮ Semiparametric inference in multivariate fractionally cointegrated systems ⋮ Consumption, aggregate wealth and expected stock returns: an FCVAR approach ⋮ Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity ⋮ Local Whittle estimation of multi-variate fractionally integrated processes ⋮ A comparison of semiparametric tests for fractional cointegration

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