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Citations for "On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors"

by Jeganathan, P.

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  1. 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.
  2. 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.
  3. Krämer, Walter & Marmol, Francesc, 1998. "The power of residual-based tests for cointegration when residuals are fractionally integrated," Technical Reports 1998,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  4. Buchmann, Boris & Chan, Ngai Hang, 2013. "Unified asymptotic theory for nearly unstable AR(p) processes," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 952-985.
  5. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
  6. repec:dgr:kubcen:200456 is not listed on IDEAS
  7. 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.
  8. Hwang, Kyo-Shin & Pang, Tian-Xiao, 2009. "Asymptotic inference for nearly nonstationary AR(1) processes with possibly infinite variance," Statistics & Probability Letters, Elsevier, vol. 79(22), pages 2374-2379, November.
  9. Fu, Ke-Ang & Li, Yuechao & Ng, Andrew Cheuk-Yin, 2013. "Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2553-2562.
  10. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  11. Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
  12. Javier Hualde & Peter Robinson, . "Semiparametric Estimation of Fractional Cointegration," Faculty Working Papers 07/06, School of Economics and Business Administration, University of Navarra.
  13. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
  14. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Faculty Working Papers 09/03, School of Economics and Business Administration, University of Navarra.
  15. Peter M. Robinson & Javier Hualde, 2003. "Cointegration in fractional systems with unknown integration orders," LSE Research Online Documents on Economics 2223, London School of Economics and Political Science, LSE Library.
  16. Søren Johansen, 2010. "An Extension of Cointegration to Fractional Autoregressive Processes," Discussion Papers 10-28, University of Copenhagen. Department of Economics.
  17. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2009. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 42(4), pages 551-574, April.
  18. Peter M. Robinson & M. Gerolimetto, 2006. "Instrumental variables estimation of stationary and nonstationary cointegrating regressions," LSE Research Online Documents on Economics 4539, London School of Economics and Political Science, LSE Library.
  19. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation for Research in Economics, Yale University.
  20. D Marinucci & Peter M Robinson, 2001. "Narrow-Band Analysis of Nonstationary Processes," STICERD - Econometrics Paper Series /2001/421, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  21. P. M. Robinson & M. Gerolimetto, 2006. "Instrumental variables estimation of stationary and non-stationary cointegrating regressions," Econometrics Journal, Royal Economic Society, vol. 9(2), pages 291-306, 07.
  22. 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.
  23. Mauro Costantini & Roy Cerqueti, 2007. "Non parametric Fractional Cointegration Analysis," ISAE Working Papers 78, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  24. Peter M. Robinson, 2004. "The distance between rival nonstationary fractional processes," LSE Research Online Documents on Economics 2282, London School of Economics and Political Science, LSE Library.
  25. Fabrizio Iacone & Peter M. Robinson, 2004. "Cointegration in fractional systems with deterministic trends," LSE Research Online Documents on Economics 2232, London School of Economics and Political Science, LSE Library.
  26. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
  27. Morten Oerregaard Nielsen, . "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, School of Economics and Management, University of Aarhus.
  28. Javier Hualde & Peter M. Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," LSE Research Online Documents on Economics 4537, London School of Economics and Political Science, LSE Library.
  29. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
  30. Marzio Galeotti & Matteo Manera & Alessandro Lanza, 2006. "On the Robustness of Robustness Checks of the Environmental Kuznets Curve," Working Papers 20060501, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised May 2006.
  31. Morten Orregaard Nielsen, 2004. "Efficient inference in multivariate fractionally integrated time series models," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 63-97, 06.
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