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Semiparametric fractional cointegration analysis


  • Marinucci, D.
  • Robinson, P. M.


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  • Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
  • Handle: RePEc:eee:econom:v:105:y:2001:i:1:p:225-247

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    References listed on IDEAS

    1. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    2. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    3. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
    4. Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
    5. Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
    6. Ignacio N. Lobato & Peter M. Robinson, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 475-495.
    7. Marinucci, D. & Robinson, P. M., 2000. "Weak convergence of multivariate fractional processes," Stochastic Processes and their Applications, Elsevier, vol. 86(1), pages 103-120, March.
    8. 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.
    9. Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-548, May.
    10. P.M. Robinson & D. Marinucci, 2000. "The Averaged Periodogram for Nonstationary Vector Time Series," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 149-160, January.
    11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    12. D Marinucci & Peter M Robinson, 2000. "The Averaged Periodogram for Nonstationary Vector Time Series," STICERD - Econometrics Paper Series 408, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    13. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
    14. Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-1056, September.
    15. Marinucci, D & Robinson, Peter M., 2000. "The averaged periodogram for nonstationary vector time series," LSE Research Online Documents on Economics 2294, London School of Economics and Political Science, LSE Library.
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