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A test for fractional cointegration using the sieve bootstrap

  • Margherita Gerolimetto

    ()

  • Isabella Procidano

    ()

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File URL: http://hdl.handle.net/10.1007/s10260-007-0065-5
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Article provided by Springer in its journal Statistical Methods and Applications.

Volume (Year): 17 (2008)
Issue (Month): 3 (July)
Pages: 373-391

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Handle: RePEc:spr:stmapp:v:17:y:2008:i:3:p:373-391
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  1. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
  2. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
  3. Breitung, Jörg & Hassler, Uwe, 2000. "Inference on the cointegration rank in fractionally integrated processes," SFB 373 Discussion Papers 2000,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. D Marinucci & Peter M. Robinson, 2001. "Semiparametric fractional cointegration analysis," LSE Research Online Documents on Economics 2269, London School of Economics and Political Science, LSE Library.
  5. Peter M Robinson & Yoshihiro Yajima, 2001. "Determination of Cointegrating Rank in Fractional Systems," STICERD - Econometrics Paper Series /2001/423, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  6. Caglayan, M. & Baum, C.F. & Barkoulas, J.T., 1998. "Exchange Rate Effects on the Volume and Variability of Trade Flows," Papers 1998/05, Koc University.
  7. Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 379-400, 07.
  8. Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
  9. 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.
  10. Michael Dueker & Richard Startz, 1998. "Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 420-426, August.
  11. Tkacz, Greg, 2000. "Fractional Cointegration and the Demand for M1," Working Papers 00-12, Bank of Canada.
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