Likelihood inference for a nonstationary fractional autoregressive model

DOI10.1016/j.jeconom.2010.03.006zbMath1431.62389OpenAlexW2170353114MaRDI QIDQ736555

Morten Ørregaard Nielsen, Søren Glud Johansen

Publication date: 4 August 2016

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

Full work available at URL: http://ageconsearch.umn.edu/record/273648

zbMATH Keywords

likelihood inferenceDickey-Fuller testfractional unit root

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22)

Related Items

Unnamed Item ⋮ Truncated sum-of-squares estimation of fractional time series models with generalized power law trend ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Investigating volatility transmission across international equity markets using multivariate fractional models ⋮ TRUNCATED SUM OF SQUARES ESTIMATION OF FRACTIONAL TIME SERIES MODELS WITH DETERMINISTIC TRENDS ⋮ THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS ⋮ Asymptotics for the Conditional‐Sum‐of‐Squares Estimator in Multivariate Fractional Time‐Series Models ⋮ TESTING THE ORDER OF FRACTIONAL INTEGRATION OF A TIME SERIES IN THE POSSIBLE PRESENCE OF A TREND BREAK AT AN UNKNOWN POINT ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Consumption, aggregate wealth and expected stock returns: an FCVAR approach ⋮ ESTIMATION FOR DYNAMIC PANEL DATA WITH INDIVIDUAL EFFECTS ⋮ A Generalised Fractional Differencing Bootstrap for Long Memory Processes ⋮ Nonstationary Cointegration in the Fractionally Cointegrated VAR Model ⋮ DETECTION OF NONCONSTANT LONG MEMORY PARAMETER ⋮ A general inversion theorem for cointegration ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Weak convergence of multivariate fractional processes
• Inference for unstable long-memory processes with applications to fractional unit root autoregressions
• Long memory processes and fractional integration in econometrics
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• The Fractional Unit Root Distribution
• A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Asymptotic Statistics
• Efficient Tests of Nonstationary Hypotheses
• THE NONSTATIONARY FRACTIONAL UNIT ROOT
• Time Series Regression with a Unit Root
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
• Efficient Wald Tests for Fractional Unit Roots
• Cointegration in Fractional Systems with Unknown Integration Orders
• A Fractional Dickey-Fuller Test for Unit Roots
• The Invariance Principle for Stationary Processes