Gaussian Semi‐parametric Estimation of Fractional Cointegration

DOI10.1111/1467-9892.00311zbMath1050.62098OpenAlexW2056507862MaRDI QIDQ4828159

Carlos Velasco

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/4356

zbMATH Keywords

long memorylong range dependencemultiple time seriesnonstationary time seriesresidual-based estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (21)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting ⋮ LONG-RUN COVARIANCE MATRICES FOR FRACTIONALLY INTEGRATED PROCESSES ⋮ Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach ⋮ Semiparametric estimation of fractional cointegrating subspaces ⋮ DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES ⋮ Polynomial Cointegration Between Stationary Processes With Long Memory ⋮ Low-frequency robust cointegration testing ⋮ Residual-based test for fractional cointegration ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Multiple local Whittle estimation in stationary systems ⋮ Fully modified narrow‐band least squares estimation of weak fractional cointegration ⋮ Exact local Whittle estimation of fractionally cointegrated systems ⋮ A REPRESENTATION THEORY FOR POLYNOMIAL COFRACTIONALITY IN VECTOR AUTOREGRESSIVE MODELS ⋮ Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany ⋮ Likelihood based testing for no fractional cointegration ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence ⋮ DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION ⋮ A comparison of semiparametric tests for fractional cointegration ⋮ A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION

Cites Work

• A semiparametric two-step estimator in a multivariate long memory model
• Non-stationary log-periodogram regression
• A limit theory for long-range dependence and statistical inference on related models
• THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS II
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
• THE NONSTATIONARY FRACTIONAL UNIT ROOT

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