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Citations for "Inference on the cointegration rank in fractionally integrated processes"

by Breitung, Jörg & Hassler, Uwe

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  1. Morten Ørregaard Nielsen, 2009. "Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders," CREATES Research Papers 2009-02, School of Economics and Management, University of Aarhus.
  2. Morten �rregaard Nielsen, 2005. "Multivariate Lagrange Multiplier Tests for Fractional Integration," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 372-398.
  3. Hassler, Uwe & Nautz, Dieter, 2008. "On the persistence of the Eonia spread," Economics Letters, Elsevier, vol. 101(3), pages 184-187, December.
  4. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2003. "Testing for a Unit Root Against Fractional Alternatives in the Presence of a Maintained Trend," Working Papers 29, Barcelona Graduate School of Economics.
  5. Belbute, José, 2013. "Does final demand for energy in Portugal exhibit long memory?," MPRA Paper 45717, University Library of Munich, Germany.
  6. Juliane Scharff, 2007. "Inflation and the Divergence of Relative Prices: Evidence from a Cointegration Analysis," AStA Advances in Statistical Analysis, Springer, vol. 91(2), pages 141-158, August.
  7. Luis F. Martins & Paulo M.M. Rodrigues, 2010. "Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates," Working Papers w201030, Banco de Portugal, Economics and Research Department.
  8. Ignacio N Lobato & Carlos Velasco, 2007. "Efficient Wald Tests for Fractional Unit Roots," Econometrica, Econometric Society, vol. 75(2), pages 575-589, 03.
  9. 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.
  10. Uwe Hassler & Antonio Rubia & Paulo M.M. Rodrigues, 2014. "Persistence in the Banking Industry: Fractional integration and breaks in memory," Working Papers w201406, Banco de Portugal, Economics and Research Department.
  11. Giuseppe Cavaliere & Morten Ørregaard Nielsen & A.M. Robert Taylor, 2013. "Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets," Working Papers 1309, Queen's University, Department of Economics.
  12. Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, School of Economics and Management, University of Aarhus.
  13. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
  14. Lee, Jin, 2005. "Estimating memory parameter in the US inflation rate," Economics Letters, Elsevier, vol. 87(2), pages 207-210, May.
  15. Caporin, Massimiliano & Ranaldo, Angelo & Santucci de Magistris, Paolo, 2012. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers on Finance 1213, University of St. Gallen, School of Finance.
  16. Bhardwaj, Geetesh & Swanson, Norman R., 2006. "An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 539-578.
  17. Hassler, Uwe & Meller, Barbara, 2011. "Detecting multiple breaks in long memory: The case of US inflation," Discussion Paper Series 1: Economic Studies 2011,26, Deutsche Bundesbank, Research Centre.
  18. Laura Mayoral, 2005. "Further evidence on the statistical properties of real GNP," Economics Working Papers 955, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2006.
  19. Mauro Costantini & Roy Cerqueti, 2007. "Non parametric Fractional Cointegration Analysis," ISAE Working Papers 78, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  20. 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.
  21. Margherita Gerolimetto & Isabella Procidano, 2008. "A test for fractional cointegration using the sieve bootstrap," Statistical Methods and Applications, Springer, vol. 17(3), pages 373-391, July.
  22. Morten Oerregaard Nielsen, . "Efficient Inference in Multivariate Fractionally Integrated Time Series Models," Economics Working Papers 2002-6, School of Economics and Management, University of Aarhus.
  23. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer, vol. 95(2), pages 187-204, June.
  24. Lean, Hooi Hooi & Smyth, Russell, 2009. "Long memory in US disaggregated petroleum consumption: Evidence from univariate and multivariate LM tests for fractional integration," Energy Policy, Elsevier, vol. 37(8), pages 3205-3211, August.
  25. Dechert, Andreas, 2014. "Fraktionale Kointegrationsbeziehungen zwischen Euribor-Zinssätzen," W.E.P. - Würzburg Economic Papers 93, University of Würzburg, Chair for Monetary Policy and International Economics.
  26. Eduardo Rossi & Paolo Santucci de Magistris, 2009. "A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility," CREATES Research Papers 2009-31, School of Economics and Management, University of Aarhus.
  27. Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, School of Economics and Management, University of Aarhus.
  28. Laura Mayoral, 2003. "Further Evidence on the Uncertain (Fractional) Unit Root in Real GNP," Working Papers 82, Barcelona Graduate School of Economics.
  29. Davidson, James, 2006. "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 741-777, August.
  30. Paulo M.M. Rodrigues & Antonio Rubia & João Valle e Azevedo, 2009. "Finite Sample Performance of Frequency and Time Domain Tests for Seasonal Fractional Integration," Working Papers w200902, Banco de Portugal, Economics and Research Department.
  31. Juan J. Dolado & Jesús Gonzalo & Laura Mayoral, 2005. "Testing I(1) against I(d) alternatives in the presence of deteministic components," Economics Working Papers 957, Department of Economics and Business, Universitat Pompeu Fabra.
  32. 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.
  33. repec:dgr:uvatin:20140021 is not listed on IDEAS
  34. Paolo Santucci de Magistris & Federico Carlini, 2014. "On the identification of fractionally cointegrated VAR models with the F(d) condition," CREATES Research Papers 2014-43, School of Economics and Management, University of Aarhus.
  35. Dechert, Andreas, 2012. "Variance Ratio Testing for Fractional Cointegration in Presence of Trends and Trend Breaks," MPRA Paper 41044, University Library of Munich, Germany.
  36. Hassler, Uwe & Breitung, Jörg, 2002. "A Residual-Based LM Test for Fractional Cointegration," Darmstadt Discussion Papers in Economics 37318, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  37. Matei Demetrescu & Uwe Hassler & Vladimir Kuzin, 2011. "Pitfalls of post-model-selection testing: experimental quantification," Empirical Economics, Springer, vol. 40(2), pages 359-372, April.
  38. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2012. "Quantile regression for long memory testing: A case of realized volatility," Working Papers w201207, Banco de Portugal, Economics and Research Department.
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