Efficient inference in multivariate fractionally integrated time series models
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Publication:3156187
DOI10.1111/j.1368-423X.2004.00122.xzbMath1094.91054OpenAlexW2129249812MaRDI QIDQ3156187
Publication date: 6 January 2005
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00122.x
LR testlocal alternativefinite sample performancemultivariate ARFIMA modelmultivariate fractional unit root test
Related Items (5)
Fractional integration and impulse responses: a bivariate application to real output in the USA and four Scandinavian countries ⋮ A multivariate long-memory model with structural breaks ⋮ Estimating multiple breaks in mean sequentially with fractionally integrated errors ⋮ TECHNOLOGY SHOCKS AND HOURS WORKED: A FRACTIONAL INTEGRATION PERSPECTIVE ⋮ Approximate state space modelling of unobserved fractional components
Uses Software
Cites Work
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- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- Statistical analysis of cointegration vectors
- Alternative forms of fractional Brownian motion
- Testing the null of stationarity for multiple time series
- Weak convergence of multivariate fractional processes
- Inference on the cointegration rank in fractionally integrated processes.
- The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
- CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
- THE NONSTATIONARY FRACTIONAL UNIT ROOT
- ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
- EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
- A Fractional Dickey-Fuller Test for Unit Roots
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