Asymptotic inference results for multivariate long‐memory processes

DOI10.1111/j.1368-423X.2004.00126.xzbMath1053.62096OpenAlexW3123442530MaRDI QIDQ3156191

Francesc Marmol, Juan J. Dolado

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.2004.00126.x

zbMATH Keywords

Granger causalityfractional cointegrationpermanent income hypothesisvector fractionally integrated processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (11)

Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ Convergence in law to operator fractional Brownian motions ⋮ Noncontemporaneous cointegration and the importance of timing ⋮ Convergence in law to operator fractional Brownian motion of Riemann-Liouville type ⋮ Integral representations and properties of operator fractional Brownian motions ⋮ Operator fractional Brownian motion and martingale differences ⋮ Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root ⋮ Fractional cointegration in the presence of linear trends ⋮ Persistence-robust surplus-lag Granger causality testing ⋮ A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS ⋮ OPERATOR FRACTIONAL BROWNIAN MOTION AS LIMIT OF POLYGONAL LINES PROCESSES IN HILBERT SPACE

Uses Software

• ARFIMA

Cites Work

• Unnamed Item
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• Alternative forms of fractional Brownian motion
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• Long memory processes and fractional integration in econometrics
• THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I
• THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II
• Spectral Regression For Cointegrated Time Series With Long-Memory Innovations
• Nonparametric Test for Causality with Long-range Dependence
• Cointegration in Fractional Systems with Unknown Integration Orders
• A Fractional Dickey-Fuller Test for Unit Roots
• Semiparametric fractional cointegration analysis

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