Spectral Analysis of Fractionally Cointegrated Systems
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- Nielsen, Morten Orregaard, 2004. "Spectral analysis of fractionally cointegrated systems," Economics Letters, Elsevier, vol. 83(2), pages 225-231, May.
References 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.
- Daniel Levy, 2002. "Cointegration in Frequency Domain," Emory Economics 0209, Department of Economics, Emory University (Atlanta).
- Morten Oerregaard Nielsen, "undated". "Local Whittle Analysis of Stationary Fractional Cointegration," Economics Working Papers 2002-8, Department of Economics and Business Economics, Aarhus University.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007.
"Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach,"
Journal of Econometrics,
Elsevier, vol. 141(2), pages 574-596, December.
- Katsumi Shimotsu & Morten Ørregaard Nielsen, 2006. "Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach," Working Papers 1029, Queen's University, Department of Economics.
- Avarucci, Marco & Velasco, Carlos, 2009.
"A Wald test for the cointegration rank in nonstationary fractional systems,"
Journal of Econometrics,
Elsevier, vol. 151(2), pages 178-189, August.
- Avarucci Marco & Velasco Carlos, 2008. "A Wald Test for the Cointegration Rank in Nonstationary Fractional Systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Kristoufek, Ladislav, 2013.
"Mixed-correlated ARFIMA processes for power-law cross-correlations,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 392(24), pages 6484-6493.
- Ladislav Kristoufek, 2013. "Mixed-correlated ARFIMA processes for power-law cross-correlations," Papers 1307.6046, arXiv.org, revised Aug 2013.
- Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Burak Eroglu & Kemal Caglar Gogebakan & Mirza Trokic, 2017. "Fractional Seasonal Variance Ratio Unit Root Tests," Working Papers 1707, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
- Nielsen, Morten Orregaard, 2005. "Noncontemporaneous cointegration and the importance of timing," Economics Letters, Elsevier, vol. 86(1), pages 113-119, January.
More about this item
KeywordsCommon stochastic trend; fractional cointegration; frequency domain analysis; reduced rank; zero-frequency.;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-03-28 (All new papers)
- NEP-ECM-2004-03-28 (Econometrics)
- NEP-RMG-2004-03-28 (Risk Management)
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