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Exact local Whittle estimation of fractionally cointegrated systems · Study

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ArticleExact local Whittle estimation of fractionally cointegrated systems

Katsumi Shimotsu2012

OA

Articlegreen2012

Exact local Whittle estimation of fractionally cointegrated systems

Katsumi Shimotsu

47 citations·0/0 files stored·Journal of Econometrics

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Complex Systems and Time Series Analysis Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1990Asymptotic Properties of Residual Based Tests for Cointegration 1995Gaussian Semiparametric Estimation of Long Range Dependence 1995Log-Periodogram Regression of Time Series with Long Range Dependence 1986Multiple Time Series Regression with Integrated Processes 2002Exact Local Whittle Estimation of Fractional \nIntegration 1993A Fractional Cointegration Analysis of Purchasing Power Parity 1994Semiparametric Analysis of Long-Memory Time Series

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1995Log-Periodogram Regression of Time Series with Long Range Dependence 2020Are natural resources a blessing or a curse for financial development in Pakistan? The importance of oil prices, economic growth and economic globalization

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2011Fully modified narrow‐band least squares estimation of weak fractional cointegrationarticle · 14 shared references 2010Semiparametric inference in multivariate fractionally cointegrated systemsarticle · 13 shared references 2007Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relationarticle · 13 shared references 2005Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecastingarticle · 11 shared references 2005Residual log-periodogram inference for long-run relationshipsarticle · 11 shared references 2004Consistent Testing of Cointegrating Relationshipsarticle · 10 shared references

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Year2012

Typearticle

Published2012-01-29

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations47

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.jeconom.2012.01.028

openalex_workW2018752896

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