A test for fractional cointegration using the sieve bootstrap
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Springer in its journal Statistical Methods and Applications.
Volume (Year): 17 (2008)
Issue (Month): 3 (July)
Contact details of provider:
Web page: http://link.springer.de/link/service/journals/10260/index.htm
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael Dueker & Richard Startz, 1998. "Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 420-426, August.
- Marinucci, D. & Robinson, P. M., 2001.
"Semiparametric fractional cointegration analysis,"
Journal of Econometrics,
Elsevier, vol. 105(1), pages 225-247, November.
- Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 379-400, 07.
- Robinson, Peter M. & Yajima, Yoshihiro, 2002.
"Determination of cointegrating rank in fractional systems,"
Journal of Econometrics,
Elsevier, vol. 106(2), pages 217-241, February.
- Peter M Robinson & Yoshihiro Yajima, 2001. "Determination of Cointegrating Rank in Fractional Systems," STICERD - Econometrics Paper Series /2001/423, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Breitung, Jörg & Hassler, Uwe, 2000.
"Inference on the cointegration rank in fractionally integrated processes,"
SFB 373 Discussion Papers
2000,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Breitung, Jorg & Hassler, Uwe, 2002. "Inference on the cointegration rank in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 167-185, October.
- Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
- Tkacz, Greg, 2000. "Fractional Cointegration and the Demand for M1," Working Papers 00-12, Bank of Canada.
- D Marinucci & Peter M. Robinson, 2001. "Semiparametric fractional cointegration analysis," LSE Research Online Documents on Economics 2269, London School of Economics and Political Science, LSE Library.
- John Barkoulas & Christopher F. Baum & Mustafa Caglayan, 1998.
"Exchange Rate Effects on the Volume and Variability of Trade Flows,"
Boston College Working Papers in Economics
405., Boston College Department of Economics, revised 12 Sep 2001.
- Barkoulas, John T. & Baum, Christopher F. & Caglayan, Mustafa, 2002. "Exchange rate effects on the volume and variability of trade flows," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 481-496, August.
- Caglayan, M. & Baum, C.F. & Barkoulas, J.T., 1998. "Exchange Rate Effects on the Volume and Variability of Trade Flows," Papers 1998/05, Koc University.
- Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
- Phillips, P. C. B. & Ouliaris, S., 1988. "Testing for cointegration using principal components methods," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 205-230.
- Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
- Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 19-29.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.