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Citations for "Cointegration in Fractional Systems with Unknown Integration Orders"

by P. M. Robinson & J. Hualde

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  1. 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.
  2. Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series 476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  3. Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
  4. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
  5. Christensen, Bent Jesper & Kruse, Robinson & Sibbertsen, Philipp, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," Hannover Economic Papers (HEP) dp-519, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  6. Peter M Robinson, 2004. "The Distance between Rival Nonstationary Fractional Processes," STICERD - Econometrics Paper Series 468, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  7. Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81.
  8. Luis A. Gil-Alana, 2004. "Fractional cointegration in the consumption and income relationship using semiparametric techniques," Economics Bulletin, AccessEcon, vol. 3(47), pages 1-8.
  9. Hualde, Javier, 2006. "Unbalanced Cointegration," Econometric Theory, Cambridge University Press, vol. 22(05), pages 765-814, October.
  10. Bent Jesper Christensen & Morten Ø. Nielsen, . "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, Department of Economics and Business Economics, Aarhus University.
  11. Hualde, Javier, 2013. "A simple test for the equality of integration orders," Economics Letters, Elsevier, vol. 119(3), pages 233-237.
  12. Luis Gil-Alana & Antonio Moreno, 2007. "Uncovering the U.S. Term Premium: An Alternative Route," Faculty Working Papers 12/07, School of Economics and Business Administration, University of Navarra.
  13. Johansen, Søren & Nielsen, Morten Ørregaard, 2010. "Likelihood inference for a nonstationary fractional autoregressive model," Journal of Econometrics, Elsevier, vol. 158(1), pages 51-66, September.
  14. Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," AMSE Working Papers 1353, Aix-Marseille School of Economics, Marseille, France, revised 29 Oct 2013.
  15. Iacone, Fabrizio & Leybourne, Stephen J. & Robert Taylor, A.M., 2013. "Testing for a break in trend when the order of integration is unknown," Journal of Econometrics, Elsevier, vol. 176(1), pages 30-45.
  16. 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).
  17. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
  18. Yunus Emre Ergemen & Carlos Velasco, 2015. "Estimation of Fractionally Integrated Panels with Fixed Effects and Cross-Section Dependence," CREATES Research Papers 2015-35, Department of Economics and Business Economics, Aarhus University.
  19. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, 03.
  20. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
  21. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  22. J. Cunado & L.A. Gil-Alana & F. Pérez de Gracia, 2007. "Real convergence in some emerging countries: a fractionally integrated approach," Recherches économiques de Louvain, De Boeck Université, vol. 73(3), pages 293-310.
  23. Luis A. Gil-Alana, 2004. "Modelling the Japanese Exchange Rate in Terms of I(d) Statistical Models with Parametric and Semiparametric Techniques," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(2), pages 123-138, August.
  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. 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.
  26. 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.
  27. Marcel Aloy & Gilles De Truchis, 2012. "Estimation and Testing for Fractional Cointegration," Working Papers halshs-00793206, HAL.
  28. Søren Johansen, 2011. "An extension of cointegration to fractional autoregressive processes," CREATES Research Papers 2011-06, Department of Economics and Business Economics, Aarhus University.
  29. Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, Department of Economics and Business Economics, Aarhus University.
  30. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2011. "Fractional Integration and Cointegration in US Financial Time Series Data," CESifo Working Paper Series 3416, CESifo Group Munich.
  31. de Truchis, Gilles, 2013. "Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue," Economic Modelling, Elsevier, vol. 34(C), pages 98-105.
  32. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, Elsevier, vol. 13(3), pages 245-258.
  33. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
  34. 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.
  35. M. Gerolimetto & Peter M Robinson, 2006. "Instrumental Variables Estimation of Stationaryand Nonstationary Cointegrating Regressions," STICERD - Econometrics Paper Series 500, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  36. 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.
  37. Mirko Abbritti & Luis Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2012. "Term Structure Persistence," Faculty Working Papers 26/12, School of Economics and Business Administration, University of Navarra.
  38. Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
  39. Daiki Maki, 2013. "Detecting cointegration relationships under nonlinear models: Monte Carlo analysis and some applications," Empirical Economics, Springer, vol. 45(1), pages 605-625, August.
  40. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
  41. Katarzyna Łasak & Carlos Velasco, 2015. "Fractional Cointegration Rank Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 241-254, April.
  42. 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.
  43. Cunado, J. & Gil-Alana, L. A. & Perez de Gracia, F., 2004. "Is the US fiscal deficit sustainable?: A fractionally integrated approach," Journal of Economics and Business, Elsevier, vol. 56(6), pages 501-526.
  44. Javier Hualde & Peter M Robinson, 2006. "Semiparametric Estimation of Fractional Cointegration," STICERD - Econometrics Paper Series 502, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  45. Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, Department of Economics and Business Economics, Aarhus University.
  46. Gil-Alana, L.A., 2005. "A re-examination of historical real daily wages in England: 1260-1994," Journal of Policy Modeling, Elsevier, vol. 27(7), pages 829-838, October.
  47. Marinucci, Domenico & Avarucci, Marco, 2005. "Polynomial cointegration among stationary processes with long memory," UC3M Working papers. Economics we055123, Universidad Carlos III de Madrid. Departamento de Economía.
  48. Fabrizio Iacone, 2009. "A Semiparametric Analysis of the Term Structure of the US Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(4), pages 475-490, 08.
  49. Cunado, J. & Gil-Alana, L.A. & de Gracia, F. Perez, 2005. "A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2633-2654, October.
  50. Yunus Emre Ergemen, 2016. "System Estimation of Panel Data Models under Long-Range Dependence," CREATES Research Papers 2016-02, Department of Economics and Business Economics, Aarhus University.
  51. Javier Hualde, 2012. "A simple test for the equality of integration orders," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 1206, Departamento de Economía - Universidad Pública de Navarra.
  52. repec:ebl:ecbull:v:3:y:2004:i:47:p:1-8 is not listed on IDEAS
  53. Carlos Pestana Barros & Luis A. Gil-Alana & James E. Payne, 2011. "An Analysis of Oil Production by OPEC Countries: Persistence, Breaks, and Outliers," Faculty Working Papers 01/11, School of Economics and Business Administration, University of Navarra.
  54. Carlos P. Barros & Joao R. Faria & Luis A. Gil-Alana, 2009. "Persistence on airline accidents," Faculty Working Papers 08/09, School of Economics and Business Administration, University of Navarra.
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