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ArticleA model of fractional cointegration, and tests for cointegration using the bootstrap

James E. H. Davidson2002

Article2002

A model of fractional cointegration, and tests for cointegration using the bootstrap

James E. H. Davidson

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

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 2010Critical Values for Cointegration Tests 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1996Long memory processes and fractional integration in econometrics

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2008A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES 2008On the Robustness of Robustness Checks of the Environmental Kuznets Curve Hypothesis 2004Generating schemes for long memory processes: regimes, aggregation and linearity 2007Properties of the Sieve Bootstrap for Fractionally Integrated and Non‐Invertible Processes 2008Representation of Cointegrated Autoregressive Processes with Application to Fractional Processes

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Details

Year2002

Typearticle

Published2002-10-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations83

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0304-4076(02)00092-1

openalex_workW2032532006

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2006Are our FEERs justified?

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