Semiparametric fractional cointegration analysis
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- 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.
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- repec:cep:stiecm:/2000/408 is not listed on IDEAS
- Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
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- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
- Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
- 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.
- Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-56, September.
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- 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.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- D Marinucci & Peter M. Robinson, 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.
- Phillips, P C B, 1991.
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- Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-48, May.
- Lobato, Ignacio N & Robinson, Peter M, 1998. "A Nonparametric Test for I(0)," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 475-95, July.
- Velasco, Carlos, 1999. "Non-stationary log-periodogram regression," Journal of Econometrics, Elsevier, vol. 91(2), pages 325-371, August.
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