Residual-based test for fractional cointegration

DOI10.1016/j.econlet.2014.11.009zbMath1378.62084OpenAlexW2016588564MaRDI QIDQ498750

Man Wang, Ngai Hang Chan, Bin Wang

Publication date: 29 September 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2014.11.009

zbMATH Keywords

Monte Carlo experimentfractional cointegrationresidual-based testasymptotic normal

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Evaluating multiplicative error models: a residual-based approach ⋮ Stochastic integral convergence: a white noise calculus approach ⋮ A comparison of semiparametric tests for fractional cointegration

Cites Work

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• Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Gaussian Semi‐parametric Estimation of Fractional Cointegration
• Cointegration in Fractional Systems with Unknown Integration Orders
• Consistent Testing of Cointegrating Relationships
• Semiparametric fractional cointegration analysis

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