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Likelihood inference for a nonstationary fractional autoregressive model

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Cited by:

  1. Maggie E. C. Jones & Morten Ørregaard Nielsen & Michał Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1078-1130, November.
  2. Nielsen, Morten Ørregaard, 2010. "Nonparametric cointegration analysis of fractional systems with unknown integration orders," Journal of Econometrics, Elsevier, vol. 155(2), pages 170-187, April.
  3. Galán-Gutiérrez, Juan Antonio & Martín-García, Rodrigo, 2021. "Cointegration between the structure of copper futures prices and Brexit," Resources Policy, Elsevier, vol. 71(C).
  4. Hualde, Javier & Nielsen, Morten Ørregaard, 2020. "Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends," Econometric Theory, Cambridge University Press, vol. 36(4), pages 751-772, August.
  5. Søren Johansen & Morten Ørregaard Nielsen, 2018. "Testing the CVAR in the Fractional CVAR Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 836-849, November.
  6. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2016. "International stock market cointegration under the risk-neutral measure," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 243-255.
  7. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends in unobserved components models," Papers 2005.03988, arXiv.org, revised May 2020.
  8. Sepideh Dolatabadi & Paresh Kumar Narayan & Morten Ørregaard Nielsen & Ke Xu, 2018. "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 219-242, February.
  9. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017. "Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 198(1), pages 165-188.
  10. Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke, 2016. "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 623-639.
  11. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana & Rangan Gupta, 2018. "The relationship between healthcare expenditure and disposable personal income in the US states: a fractional integration and cointegration analysis," Empirical Economics, Springer, vol. 55(3), pages 913-935, November.
  12. Abakah, Emmanuel Joel Aikins & Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko, 2021. "Economic policy uncertainty: Persistence and cross-country linkages," Research in International Business and Finance, Elsevier, vol. 58(C).
  13. Federico Carlini & Paolo Santucci de Magistris, 2019. "On the Identification of Fractionally Cointegrated VAR Models With the Condition," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(1), pages 134-146, January.
  14. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  15. Davidson, James & Hashimzade, Nigar, 2009. "Type I and type II fractional Brownian motions: A reconsideration," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
  16. Monge, Manuel & Cristóbal, Enrique, 2021. "Terrorism and the behavior of oil production and prices in OPEC," Resources Policy, Elsevier, vol. 74(C).
  17. Monge, Manuel & Gil-Alana, Luis A., 2021. "Lithium industry and the U.S. crude oil prices. A fractional cointegration VAR and a Continuous Wavelet Transform analysis," Resources Policy, Elsevier, vol. 72(C).
  18. Morten Ørregaard Nielsen, 2015. "Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 154-188, March.
  19. Poza, Carlos & Monge, Manuel, 2020. "A real time leading economic indicator based on text mining for the Spanish economy. Fractional cointegration VAR and Continuous Wavelet Transform analysis," International Economics, Elsevier, vol. 163(C), pages 163-175.
  20. Søren Johansen & Morten Ørregaard Nielsen, 2012. "The role of initial values in nonstationary fractional time series models," Discussion Papers 12-18, University of Copenhagen. Department of Economics.
  21. Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
  22. Senra Hodelin, Reynaldo, 2022. "Public banking and economic growth: The experiences of 10 countries since the 1950s until 2017," Economic Systems, Elsevier, vol. 46(1).
  23. Pérez-Rodríguez, Jorge V. & Andrada-Félix, Julián & Rachinger, Heiko, 2021. "Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  24. Baruník, Jozef & Dvořáková, Sylvie, 2015. "An empirical model of fractionally cointegrated daily high and low stock market prices," Economic Modelling, Elsevier, vol. 45(C), pages 193-206.
  25. Yaya, OlaOluwa S. & Ogbonna, Ahamuefula E. & Olubusoye, Olusanya E., 2019. "How persistent and dynamic inter-dependent are pricing of Bitcoin to other cryptocurrencies before and after 2017/18 crash?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 531(C).
  26. Abbritti, Mirko & Carcel, Hector & Gil-Alana, Luis & Moreno, Antonio, 2023. "Term premium in a fractionally cointegrated yield curve," Journal of Banking & Finance, Elsevier, vol. 149(C).
  27. Luis Gil-Alana & Antonio Moreno, 2012. "Fractional integration and structural breaks in U.S. macro dynamics," Empirical Economics, Springer, vol. 43(1), pages 427-446, August.
  28. Afsin Sahin, 2019. "Loom of Symmetric Pass-Through," Economies, MDPI, vol. 7(1), pages 1-25, February.
  29. Luis A. Gil-Alana & Antonio Moreno & Seonghoon Cho, 2012. "The Deaton paradox in a long memory context with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3309-3322, September.
  30. Murat Gündüz, 2020. "Healthcare expenditure and carbon footprint in the USA: evidence from hidden cointegration approach," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 21(5), pages 801-811, July.
  31. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
  32. Monge, Manuel & Gil-Alana, Luis Alberiko, 2021. "Spatial crude oil production divergence and crude oil price behaviour in the United States," Energy, Elsevier, vol. 232(C).
  33. Søren Johansen & Morten Ørregaard Nielsen, 2019. "Nonstationary Cointegration in the Fractionally Cointegrated VAR Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 40(4), pages 519-543, July.
  34. Qian, Yao & Ralescu, Dan A. & Zhang, Bo, 2019. "The analysis of factors affecting global gold price," Resources Policy, Elsevier, vol. 64(C).
  35. Stoupos, Nikolaos & Kiohos, Apostolos, 2022. "Euro area stock markets integration: Empirical evidence after the end of 2010 debt crisis," Finance Research Letters, Elsevier, vol. 46(PB).
  36. Gil-Alana, Luis A. & Škare, Marinko & Pržiklas-Družeta, Romina, 2019. "Measuring inequality persistence in OECD 1963–2008 using fractional integration and cointegration," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 65-72.
  37. OlaOluwa S. Yaya & Nurudeen Abu & Tayo P. Ogundunmade, 2021. "Economic policy uncertainty in G7 countries: evidence of long-range dependence and cointegration," Economic Change and Restructuring, Springer, vol. 54(2), pages 541-556, May.
  38. Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
  39. Javier Hualde & Morten {O}rregaard Nielsen, 2022. "Fractional integration and cointegration," Papers 2211.10235, arXiv.org.
  40. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A. M. Robert Taylor, 2022. "Adaptive Inference in Heteroscedastic Fractional Time Series Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 50-65, January.
  41. Guglielmo Maria Caporale & Luis Gil‐Alana, 2020. "Prospects for a Monetary Union in the East Africa Community: Some Empirical Evidence," South African Journal of Economics, Economic Society of South Africa, vol. 88(2), pages 174-185, June.
  42. Luis A. Gil-Alana & Sakiru Adebola Solarin & Mehmet Balcilar & Rangan Gupta, 2023. "Productivity and GDP: international evidence of persistence and trends over 130 years of data," Empirical Economics, Springer, vol. 64(3), pages 1219-1246, March.
  43. Massimo Franchi & Paolo Paruolo, 2019. "A general inversion theorem for cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
  44. Guglielmo Maria Caporale & José Javier de Dios Mazariegos & Luis A. Gil-Alana, 2022. "Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis," CESifo Working Paper Series 9950, CESifo.
  45. Salisu, Afees A. & Ndako, Umar B. & Adediran, Idris A. & Swaray, Raymond, 2020. "A fractional cointegration VAR analysis of Islamic stocks: A global perspective," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  46. Chen, Yu-Lun & Xu, Ke, 2021. "The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets," Journal of Banking & Finance, Elsevier, vol. 127(C).
  47. Yaya, OlaOluwa S & Gil-Alana, Luis A., 2018. "High and Low Intraday Commodity Prices: A Fractional Integration and Cointegration Approach," MPRA Paper 90518, University Library of Munich, Germany.
  48. Sakiru Adebola Solarin & Carmen Lafuente & Luis A. Gil-Alana & Maria Jesus Gonzalez Blanch, 2022. "Inequality Persistence of 21 OECD Countries from 1870 to 2020: Linear and Non-Linear Fractional Integration Approaches," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 164(2), pages 711-725, November.
  49. Hartl, Tobias, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242380, Verein für Socialpolitik / German Economic Association.
  50. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2019. "CO2 Emissions and GDP: Evidence from China," CESifo Working Paper Series 7881, CESifo.
  51. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.
  52. Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," CREATES Research Papers 2019-02, Department of Economics and Business Economics, Aarhus University.
  53. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2020. "Modelling Loans to Non-Financial Corporations within the Eurozone: A Long-Memory Approach," CESifo Working Paper Series 8674, CESifo.
  54. Luis A. Gil-Alana & Marinko Skare, 2018. "Testing the great decoupling: a long memory approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(4), pages 801-820, November.
  55. Gil-Alana, Luis A. & Carcel, Hector, 2020. "A fractional cointegration var analysis of exchange rate dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  56. Samet Gunay, 2018. "Fractionally Cointegrated Vector Autoregression Model: Evaluation of High/Low and Close/Open Spreads for Precious Metals," SAGE Open, , vol. 8(4), pages 21582440188, November.
  57. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Carlos Poza, 2022. "Inflation in the G7 countries: persistence and structural breaks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 493-506, July.
  58. Yan, Meng & Chen, Jian & Song, Victor & Xu, Ke, 2022. "Trade friction and price discovery in the USD–CAD spot and forward markets," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  59. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  60. Quineche Ricardo, 2021. "Consumption, Aggregate Wealth and Expected Stock Returns: An FCVAR Approach," Journal of Time Series Econometrics, De Gruyter, vol. 13(1), pages 21-42, January.
  61. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
  62. Alexander Boca Saravia & Gabriel Rodríguez, 2022. "Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR," Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
  63. Gil-Alana, Luis A. & Infante, Juan & Martín-Valmayor, Miguel Angel, 2023. "Persistence and long run co-movements across stock market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 347-357.
  64. Javier Hualde & Morten Ørregaard Nielsen, 2022. "Truncated sum-of-squares estimation of fractional time series models with generalized power law trend," CREATES Research Papers 2022-07, Department of Economics and Business Economics, Aarhus University.
  65. Eduardo Rossi & Paolo Santucci de Magistris, 2013. "A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(1), pages 77-102, January.
  66. Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 339-356, April.
  67. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Awe, Olushina O., 2017. "Time series analysis of co-movements in the prices of gold and oil: Fractional cointegration approach," Resources Policy, Elsevier, vol. 53(C), pages 117-124.
  68. Leandro Maciel, 2020. "Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model," Empirical Economics, Springer, vol. 58(4), pages 1513-1540, April.
  69. Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
  70. Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2020. "Are there any other safe haven assets? Evidence for “exotic” and alternative assets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 614-628.
  71. Carlos D. Ramirez, 2024. "The effect of economic policy uncertainty under fractional integration," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 23(1), pages 89-110, January.
  72. Bensalma, Ahmed, 2015. "New Fractional Dickey and Fuller Test," MPRA Paper 65282, University Library of Munich, Germany.
  73. Håvard Hungnes, 2016. "Fractionality and co-fractionality between Government Bond yields," Discussion Papers 838, Statistics Norway, Research Department.
  74. Jose Maria Fernandez-Crehuet & Luis Alberiko Gil-Alana & Cristina Martí Barco, 2020. "Unemployment and Fertility: A Long Run Relationship," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 152(3), pages 1177-1196, December.
  75. Johansen, Søren & Nielsen, Morten Ørregaard, 2016. "The Role Of Initial Values In Conditional Sum-Of-Squares Estimation Of Nonstationary Fractional Time Series Models," Econometric Theory, Cambridge University Press, vol. 32(5), pages 1095-1139, October.
  76. Stoupos, Nikolaos & Kiohos, Apostolos, 2021. "Energy commodities and advanced stock markets: A post-crisis approach," Resources Policy, Elsevier, vol. 70(C).
  77. Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2016. "Common trends in global volatility," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 194-214.
  78. Monge, Manuel & Poza, Carlos & Borgia, Sofía, 2022. "A proposal of a suspicion of tax fraud indicator based on Google trends to foresee Spanish tax revenues," International Economics, Elsevier, vol. 169(C), pages 1-12.
  79. Nikolaos Stoupos & Apostolos Kiohos, 2022. "Euro Area: Towards a European Common Bond? – Empirical Evidence from the Sovereign Debt Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 60(4), pages 1019-1046, July.
  80. Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
  81. Adebola, Solarin Sakiru & Gil-Alana, Luis A. & Madigu, Godfrey, 2019. "Gold prices and the cryptocurrencies: Evidence of convergence and cointegration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1227-1236.
  82. Morten Ø. Nielsen & Michal Ksawery Popiel, 2018. "A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model," Working Paper 1330, Economics Department, Queen's University.
  83. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
  84. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, Department of Economics and Business Economics, Aarhus University.
  85. Tschernig, Rolf & Weber, Enzo & Weigand, Roland, 2013. "Fractionally Integrated VAR Models with a Fractional Lag Operator and Deterministic Trends: Finite Sample Identification and Two-step Estimation," University of Regensburg Working Papers in Business, Economics and Management Information Systems 471, University of Regensburg, Department of Economics.
  86. Aye, Goodness C. & Carcel, Hector & Gil-Alana, Luis A. & Gupta, Rangan, 2017. "Does gold act as a hedge against inflation in the UK? Evidence from a fractional cointegration approach over 1257 to 2016," Resources Policy, Elsevier, vol. 54(C), pages 53-57.
  87. Caporale, Guglielmo Maria & Gil-Alana, Luis A. & Poza, Carlos, 2020. "High and low prices and the range in the European stock markets: A long-memory approach," Research in International Business and Finance, Elsevier, vol. 52(C).
  88. Tobias Hartl, 2021. "Monitoring the pandemic: A fractional filter for the COVID-19 contact rate," Papers 2102.10067, arXiv.org.
  89. Federico Carlini & Paolo Santucci de Magistris, 2019. "Resuscitating the co-fractional model of Granger (1986)," Discussion Papers 19/01, University of Nottingham, Granger Centre for Time Series Econometrics.
  90. David Gabauer & Rangan Gupta & Jacobus Nel & Woraphon Yamaka, 2021. "Time-Varying Predictability of Labor Productivity on Inequality in United Kingdom," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(3), pages 771-788, June.
  91. Guglielmo Maria Caporale & Gloria Claudio-Quiroga & Luis A. Gil-Alana, 2021. "Analysing the relationship between CO2 emissions and GDP in China: a fractional integration and cointegration approach," Journal of Innovation and Entrepreneurship, Springer, vol. 10(1), pages 1-16, December.
  92. Apergis, Nicholas & Carmona-González, Nieves & Gil-Alana, Luis Alberiko, 2020. "Persistence in silver prices and the influence of solar energy," Resources Policy, Elsevier, vol. 69(C).
  93. Monge, Manuel & Romero Rojo, María Fátima & Gil-Alana, Luis Alberiko, 2023. "The impact of geopolitical risk on the behavior of oil prices and freight rates," Energy, Elsevier, vol. 269(C).
  94. Monge, Manuel & Lazcano, Ana & Parada, José Luis, 2023. "Growth vs value investing: Persistence and time trend before and after COVID-19," Research in International Business and Finance, Elsevier, vol. 65(C).
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