Likelihood based testing for no fractional cointegration

DOI10.1016/j.jeconom.2010.03.008zbMath1431.62395OpenAlexW3125897609MaRDI QIDQ736557

Katarzyna Łasak

Publication date: 4 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.008

zbMATH Keywords

maximum likelihood estimationfractional Brownian motionlikelihood ratio testsfractional cointegrationerror correction modelGaussian VAR model

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) Parametric hypothesis testing (62F03) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

A Wald test for the cointegration rank in nonstationary fractional systems ⋮ Semiparametric inference in multivariate fractionally cointegrated systems ⋮ A comparison of semiparametric tests for fractional cointegration

Uses Software

• Ox

Cites Work

• Unnamed Item
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