Consistent Testing of Cointegrating Relationships
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Cited by:
- Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021.
"A comparison of semiparametric tests for fractional cointegration,"
Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
- Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2019. "A Comparison of Semiparametric Tests for Fractional Cointegration," Hannover Economic Papers (HEP) dp-651, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021.
"Integration and Disintegration of EMU Government Bond Markets,"
Econometrics, MDPI, vol. 9(1), pages 1-17, March.
- Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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.
- Morten Ø. Nielsen & Katsumi Shimotsu, 2006. "Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach," Working Paper 1029, Economics Department, Queen's University.
- Hualde, J. & Robinson, P.M., 2007.
"Root-n-consistent estimation of weak fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 140(2), pages 450-484, October.
- Javier Hualde & A Robinson, 2006. "Root-N-Consistent Estimation Of Weakfractional Cointegration," STICERD - Econometrics Paper Series /06/499, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Mauro Costantini & Roy Cerqueti, 2007. "Non parametric Fractional Cointegration Analysis," ISAE Working Papers 78, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
- Ripamonti, Alexandre, 2013. "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper 79460, University Library of Munich, Germany.
- Hurvich, Cliiford & Wang, Yi, 2006.
"A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects,"
MPRA Paper
1413, University Library of Munich, Germany.
- Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany.
- Saidat Fehintola Olaniran & Oyebayo Ridwan Olaniran & Jeza Allohibi & Abdulmajeed Atiah Alharbi & Mohd Tahir Ismail, 2024. "A Generalized Residual-Based Test for Fractional Cointegration in Panel Data with Fixed Effects," Mathematics, MDPI, vol. 12(8), pages 1-11, April.
- Javier Hualde & Morten {O}rregaard Nielsen, 2022.
"Fractional integration and cointegration,"
Papers
2211.10235, arXiv.org.
- Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
- Katarzyna Łasak & Carlos Velasco, 2015.
"Fractional Cointegration Rank Estimation,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 241-254, April.
- Katarzyna Lasak & Carlos Velasco, 2013. "Fractional cointegration rank estimation," CREATES Research Papers 2013-08, Department of Economics and Business Economics, Aarhus University.
- Katarzyna Lasak & Carlos Velasco, 2014. "Fractional Cointegration Rank Estimation," Tinbergen Institute Discussion Papers 14-021/III, Tinbergen Institute.
- Katarzyna Lasak, 2008. "Maximum likelihood estimation of fractionally cointegrated systems," CREATES Research Papers 2008-53, Department of Economics and Business Economics, Aarhus University.
- Uwe Hassler & Francesc Marmol & Carlos Velasco, 2008. "Fractional cointegration in the presence of linear trends," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 1088-1103, November.
- Wang, Bin & Wang, Man & Chan, Ngai Hang, 2015. "Residual-based test for fractional cointegration," Economics Letters, Elsevier, vol. 126(C), pages 43-46.
- Man Wang & Ngai Hang Chan, 2016. "Testing for the Equality of Integration Orders of Multiple Series," Econometrics, MDPI, vol. 4(4), pages 1-10, December.
- Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015.
"Nonparametric predictive regression,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
- Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012. "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics 14-2012, University of Cyprus Department of Economics.
- Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013. "Nonparametric Predictive Regression," CEPR Discussion Papers 9570, C.E.P.R. Discussion Papers.
- Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
- Hualde, Javier, 2006.
"Unbalanced Cointegration,"
Econometric Theory, Cambridge University Press, vol. 22(5), pages 765-814, October.
- Javier Hualde, 2005. "Unbalanced Cointegration," Faculty Working Papers 06/05, School of Economics and Business Administration, University of Navarra.
- Lasak, Katarzyna, 2010.
"Likelihood based testing for no fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
- Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, Department of Economics and Business Economics, Aarhus University.
- Esther Stroe-Kunold & Joachim Werner, 2009. "A drunk and her dog: a spurious relation? Cointegration tests as instruments to detect spurious correlations between integrated time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(6), pages 913-940, November.
- 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.
- Avarucci, M. & Velasco, C., 2008. "A wald test for the cointegration rank in nonstationary fractional systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Sizova, Natalia, 2014. "A frequency-domain alternative to long-horizon regressions with application to return predictability," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 261-272.
- Oluwatobi Joshua OLOFIN & Adeleke Gabriel AREMO (Ph.D) & Olabode Philp OLOFIN (Ph.D) & Oluwafemi Olawale OKUNADE, 2023. "Neighborhood Effect, Agricultural Development and Poverty Level in Nigeria," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(5), pages 705-726, May.
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