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Citations for "On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors"

by Jeganathan, P.

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  1. Andreou, E. & Werker, B.J.M., 2004. "An Alternative Asymptotic Analysis of Residual-Based Statistics," Discussion Paper, Tilburg University, Center for Economic Research 2004-56, Tilburg University, Center for Economic Research.
  2. Peter M. Robinson & M. Gerolimetto, 2006. "Instrumental variables estimation of stationary and nonstationary cointegrating regressions," LSE Research Online Documents on Economics 4539, London School of Economics and Political Science, LSE Library.
  3. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, 09.
  4. Javier Hualde & Peter M Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2006/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  5. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2009. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 42(4), pages 551-574, April.
  6. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 157(2), pages 492-511, August.
  7. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 263-298.
  8. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
  9. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, Elsevier, vol. 129(1-2), pages 1-34.
  10. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, Elsevier, vol. 178(2), pages 761-778.
  11. D. Marinucci & Peter M. Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 303, London School of Economics and Political Science, LSE Library.
  12. Nielsen M.O., 2004. "Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 22, pages 331-345, July.
  13. 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.
  14. Kramer, Walter & Marmol, Francesc, 2004. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 82(1), pages 63-69, January.
  15. Morten Oerregaard Nielsen, . "Efficient Inference in Multivariate Fractionally Integrated Time Series Models," Economics Working Papers, School of Economics and Management, University of Aarhus 2002-6, School of Economics and Management, University of Aarhus.
  16. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation for Research in Economics, Yale University.
  17. Buchmann, Boris & Chan, Ngai Hang, 2013. "Unified asymptotic theory for nearly unstable AR(p) processes," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 123(3), pages 952-985.
  18. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2006/502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  19. Peter M. Robinson & Javier Hualde, 2003. "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics 2223, London School of Economics and Political Science, LSE Library.
  20. Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, Elsevier, vol. 110(2), pages 187-212, October.
  21. M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2006/500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  22. Fabrizio Iacone & Peter M. Robinson, 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics 2232, London School of Economics and Political Science, LSE Library.
  23. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Working Papers 2006.22, Fondazione Eni Enrico Mattei.
  24. Javier Hualde & Peter M. Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
  25. Mauro Costantini & Roy Cerqueti, 2007. "Non parametric Fractional Cointegration Analysis," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) 78, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  26. Peter M Robinson, 2004. "The Distance between Rival Nonstationary Fractional Processes," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2004/468, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  27. Hwang, Kyo-Shin & Pang, Tian-Xiao, 2009. "Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance," Statistics & Probability Letters, Elsevier, vol. 79(22), pages 2374-2379, November.
  28. D Marinucci & Peter M Robinson, 2001. "Narrow-Band Analysis of Nonstationary Processes," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2001/421, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  29. Fu, Ke-Ang & Li, Yuechao & Ng, Andrew Cheuk-Yin, 2013. "Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2553-2562.
  30. Peter M. Robinson, 2004. "The distance between rival nonstationary fractional processes," LSE Research Online Documents on Economics 2282, London School of Economics and Political Science, LSE Library.
  31. Søren Johansen, 2011. "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers 2011-06, School of Economics and Management, University of Aarhus.