A Comparison of Semiparametric Tests for Fractional Cointegration
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- 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.
References listed on IDEAS
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More about this item
Keywords
Long Memory; Fractional Cointegration; Semiparametric Estimation and Testing;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-01-28 (Econometrics)
- NEP-ETS-2019-01-28 (Econometric Time Series)
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