Add to ORKGWe consider a cointegrated system generated by processes that may be fractionally integrated, and by additive polynomial and generalized polynomial trends. In view of the consequent competition between stochastic and deterministic trends, we consider various estimates of the cointegrating vector and develop relevant asymptotic theory, including the situation where fractional orders of integration are unknown.Fractional cointegration, deterministic trends, ordinary least squares estimation, generalized least squares estimation, Wald tests.
We propose tests of the null of spurious relationship against the alternative of fractional cointeg...
Recently, increasing interest on the issue of fractional cointegration has emerged from theoretical ...
We consider regressions of nonstationary fractionally integrated variables dominated by linear time ...
We consider a cointegrated system generated by processes that may be fractionally integrated, and by...
We consider a cointegrated system generated by processes that may be fractionally integrated, and by...
Cointegrated bivariate nonstationary time series are considered in fractional context, without allow...
We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator (...
We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator (...
Cointegrated bivariate nonstationary time series are considered in a fractional context, without all...
The concept of cointegration has principally been developed under the assumption that the raw data v...
We estimate a multivariate autoregressive fractionally-integrated moving-average (ARFIMA) model to i...
Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, β, ...
Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first st...
Semiparametric estimation of a bivariate fractionally cointegrated system is considered. The new est...
A semiparametric bivariate fractionally cointegrated system is considered, integrationorders possibl...
We propose tests of the null of spurious relationship against the alternative of fractional cointeg...
Recently, increasing interest on the issue of fractional cointegration has emerged from theoretical ...
We consider regressions of nonstationary fractionally integrated variables dominated by linear time ...
We consider a cointegrated system generated by processes that may be fractionally integrated, and by...
We consider a cointegrated system generated by processes that may be fractionally integrated, and by...
Cointegrated bivariate nonstationary time series are considered in fractional context, without allow...
We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator (...
We propose and derive the asymptotic distribution of a tapered narrow-band least squares estimator (...
Cointegrated bivariate nonstationary time series are considered in a fractional context, without all...
The concept of cointegration has principally been developed under the assumption that the raw data v...
We estimate a multivariate autoregressive fractionally-integrated moving-average (ARFIMA) model to i...
Empirical evidence has emerged of the possibility of fractional cointegration such that the gap, β, ...
Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first st...
Semiparametric estimation of a bivariate fractionally cointegrated system is considered. The new est...
A semiparametric bivariate fractionally cointegrated system is considered, integrationorders possibl...
We propose tests of the null of spurious relationship against the alternative of fractional cointeg...
Recently, increasing interest on the issue of fractional cointegration has emerged from theoretical ...
We consider regressions of nonstationary fractionally integrated variables dominated by linear time ...