The distance between rival nonstationary fractional processes
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- Peter M. Robinson & Carlos Velasco, 2000. "Whittle pseudo-maximum likelihood estimation for nonstationary time series," LSE Research Online Documents on Economics 2273, London School of Economics and Political Science, LSE Library.
- P. M. Robinson & J. Hualde, 2003.
"Cointegration in Fractional Systems with Unknown Integration Orders,"
Econometric Society, vol. 71(6), pages 1727-1766, November.
- Peter M. Robinson & Javier Hualde, 2002. "Cointegration in Fractional Systems with Unknown Integration Orders," Faculty Working Papers 07/02, School of Economics and Business Administration, University of Navarra.
- D Marinucci & Peter Robinson, 2001. "Narrow-band analysis of nonstationary processes," LSE Research Online Documents on Economics 2015, London School of Economics and Political Science, LSE Library.
- Sowell, Fallaw, 1990. "The Fractional Unit Root Distribution," Econometrica, Econometric Society, vol. 58(2), pages 495-505, March.
- 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.
- D Marinucci & Peter M Robinson, 2001. "Narrow-Band Analysis of Nonstationary Processes," STICERD - Econometrics Paper Series 421, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Javier Hualde & A Robinson, 2006.
"Root-N-Consistent Estimation Of Weakfractional Cointegration,"
STICERD - Econometrics Paper Series
/06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Hualde, J. & Robinson, P.M., 2007. "Root-n-consistent estimation of weak fractional cointegration," Journal of Econometrics, Elsevier, vol. 140(2), pages 450-484, October.
- Velasco, Carlos, 1998.
"Non-stationary log-periodogram regression,"
DES - Working Papers. Statistics and Econometrics. WS
4554, Universidad Carlos III de Madrid. Departamento de Estadística.
- Jeganathan, P., 1999. "On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors," Econometric Theory, Cambridge University Press, vol. 15(04), pages 583-621, August.
- 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.
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