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Citations for "Weak convergence of multivariate fractional processes"

by Marinucci, D. & Robinson, P. M.

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  1. Robinson, P.M., 2005. "The distance between rival nonstationary fractional processes," Journal of Econometrics, Elsevier, vol. 128(2), pages 283-300, October.
  2. Marinucci, D. & Robinson, P. M., 2001. "Semiparametric fractional cointegration analysis," Journal of Econometrics, Elsevier, vol. 105(1), pages 225-247, November.
  3. Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
  4. Lavancier, Frédéric & Philippe, Anne & Surgailis, Donatas, 2009. "Covariance function of vector self-similar processes," Statistics & Probability Letters, Elsevier, vol. 79(23), pages 2415-2421, December.
  5. Morten Ørregaard Nielsen, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 1175, Queen's University, Department of Economics.
  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. 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.
  8. Søren Johansen & Morten Ørregaard Nielsen, 2007. "Likelihood Inference for a Nonstationary Fractional Autoregressive Model," Discussion Papers 07-27, University of Copenhagen. Department of Economics.
  9. Morten Ørregaard Nielsen, 2008. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," Working Papers 1174, Queen's University, Department of Economics.
  10. Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, Department of Economics and Business Economics, Aarhus University.
  11. James Davidson & Nigar Hashimzade, 2008. "Type I and Type II Fractional Brownian Motions: a Reconsideration," Discussion Papers 0816, Exeter University, Department of Economics.
  12. Alexander Aue & Lajos Horváth & Clifford Hurvich & Philippe Soulier, 2014. "Limit Laws in Transaction-Level Asset Price Models," Post-Print hal-00583372, HAL.
  13. P. M. Robinson & J. Hualde, 2003. "Cointegration in Fractional Systems with Unknown Integration Orders," Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
  14. Sibbertsen, Philipp & Kramer, Walter, 2006. "The power of the KPSS-test for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 91(3), pages 321-324, June.
  15. Marmol, Francesc & Velasco, Carlos, 2002. "Trend stationarity versus long-range dependence in time series analysis," Journal of Econometrics, Elsevier, vol. 108(1), pages 25-42, May.
  16. P.M. Robinson & D. Marinucci, 2000. "The Averaged Periodogram for Nonstationary Vector Time Series," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 149-160, January.
  17. 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.
  18. Hualde, Javier, 2013. "A simple test for the equality of integration orders," Economics Letters, Elsevier, vol. 119(3), pages 233-237.
  19. Zaffaroni, Paolo, 2004. "Contemporaneous aggregation of linear dynamic models in large economies," Journal of Econometrics, Elsevier, vol. 120(1), pages 75-102, May.
  20. 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.
  21. Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
  22. Hualde, J. & Robinson, P.M., 2010. "Semiparametric inference in multivariate fractionally cointegrated systems," Journal of Econometrics, Elsevier, vol. 157(2), pages 492-511, August.
  23. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
  24. 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.
  25. 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.
  26. Chang Sik Kim & Peter C.B. Phillips, 2006. "Log Periodogram Regression: The Nonstationary Case," Cowles Foundation Discussion Papers 1587, Cowles Foundation for Research in Economics, Yale University.
  27. 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.
  28. Katsumi Shimotsu & Peter C.B. Phillips, 2000. "Local Whittle Estimation in Nonstationary and Unit Root Cases," Cowles Foundation Discussion Papers 1266, Cowles Foundation for Research in Economics, Yale University, revised Sep 2003.
  29. Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
  30. Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
  31. 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.
  32. Lasak, Katarzyna, 2010. "Likelihood based testing for no fractional cointegration," Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
  33. McElroy, Tucker S. & Politis, Dimitris N., 2012. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt35c7r55c, Department of Economics, UC San Diego.
  34. Eroğlu, Burak Alparslan & Yiğit, Taner, 2016. "A nonparametric unit root test under nonstationary volatility," Economics Letters, Elsevier, vol. 140(C), pages 6-10.
  35. Katsumi Shimotsu, 2006. "Simple (but effective) tests of long memory versus structural breaks," Working Papers 1101, Queen's University, Department of Economics.
  36. Uwe Hassler & Jan Scheithauer, 2011. "Detecting changes from short to long memory," Statistical Papers, Springer, vol. 52(4), pages 847-870, November.
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