Root-\(n\)-consistent estimation of weak fractional cointegration

DOI10.1016/j.jeconom.2006.07.004zbMath1247.91138OpenAlexW3123693017MaRDI QIDQ451251

Peter M. Robinson, Javier Hualde

Publication date: 23 September 2012

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.004

zbMATH Keywords

asymptotic normalityfractional cointegrationparametric estimation

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Statistical methods; economic indices and measures (91B82)

Related Items

The distance between rival nonstationary fractional processes, Cointegration in fractional systems with deterministic trends, Nonparametric cointegration analysis of fractional systems with unknown integration orders, Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory, Multiple local Whittle estimation in stationary systems, Estimation of long-run parameters in unbalanced cointegration, Semiparametric inference in multivariate fractionally cointegrated systems, DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION, FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS, Fixed Bandwidth Inference for Fractional Cointegration, Instrumental variables estimation of stationary and non‐stationary cointegrating regressions, A bivariate fractionally cointegrated relationship in the context of cyclical structures

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