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The Functional Central Limit Theorem And Weak Convergence To Stochastic Integrals Ii
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Cited by:
- Baillie, Richard T. & Kapetanios, George, 2007.
"Testing for Neglected Nonlinearity in Long-Memory Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 447-461, October.
- Richard T. Baillie & George Kapetanios, 2005. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 528, Queen Mary University of London, School of Economics and Finance.
- Sun, Yixiao & Kaplan, David M., 2011. "A New Asymptotic Theory for Vector Autoregressive Long-run Variance Estimation and Autocorrelation Robust Testing," University of California at San Diego, Economics Working Paper Series qt8cx0t4gc, Department of Economics, UC San Diego.
- Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011.
"Panels with non-stationary multifactor error structures,"
Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
- Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006. "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics 0651, Faculty of Economics, University of Cambridge.
- G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print hal-00768190, HAL.
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
- Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi, 2006. "Panels with Nonstationary Multifactor Error Structures," IZA Discussion Papers 2243, Institute of Labor Economics (IZA).
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," CESifo Working Paper Series 1788, CESifo.
- Davidson, James & Monticini, Andrea, 2010.
"Tests for cointegration with structural breaks based on subsamples,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2498-2511, November.
- James Davidson & Andrea Monticini, 2007. "Tests for Cointegration with Structural Breaks Based on Subsamples," Discussion Papers 0704, University of Exeter, Department of Economics.
- B. Nielsen, 2009. "Test for cointegration rank in general vector autoregressions," Economics Papers 2009-W10, Economics Group, Nuffield College, University of Oxford.
- Clark, Todd E. & McCracken, Michael W., 2015.
"Nested forecast model comparisons: A new approach to testing equal accuracy,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 160-177.
- Todd E. Clark & Michael W. McCracken, 2009. "Nested forecast model comparisons: a new approach to testing equal accuracy," Research Working Paper RWP 09-11, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2009. "Nested forecast model comparisons: a new approach to testing equal accuracy," Working Papers 2009-050, Federal Reserve Bank of St. Louis.
- Clark, Todd & McCracken, Michael, 2013.
"Advances in Forecast Evaluation,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201,
Elsevier.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
- Uwe Hassler & Jan Scheithauer, 2011. "Detecting changes from short to long memory," Statistical Papers, Springer, vol. 52(4), pages 847-870, November.
- Hassler, U. & Marmol, F. & Velasco, C., 2006.
"Residual log-periodogram inference for long-run relationships,"
Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual log-periodogram inference for long-run relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18289, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2009. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77562, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run-Relationships," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37317, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Marmol, Francesc & Velasco, Carlos, 2002. "Residual Log-Periodogram Inference for Long-Run Relationships," Darmstadt Discussion Papers in Economics 115, Darmstadt University of Technology, Department of Law and Economics.
- Victor Chernozhukov & Iván Fernández‐Val & Blaise Melly, 2013.
"Inference on Counterfactual Distributions,"
Econometrica, Econometric Society, vol. 81(6), pages 2205-2268, November.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2008. "Inference On Counterfactual Distributions," Boston University - Department of Economics - Working Papers Series wp2008-005, Boston University - Department of Economics.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2012. "Inference on counterfactual distributions," CeMMAP working papers 05/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers 17/13, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2013. "Inference on counterfactual distributions," CeMMAP working papers CWP17/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers CWP09/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on Counterfactual Distributions," Papers 0904.0951, arXiv.org, revised Sep 2013.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2009. "Inference on counterfactual distributions," CeMMAP working papers 09/09, Institute for Fiscal Studies.
- Victor Chernozhukov & Ivan Fernandez-Val & Blaise Melly, 2012. "Inference on counterfactual distributions," CeMMAP working papers CWP05/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Nielsen, Morten Ørregaard, 2009.
"A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1515-1544, December.
- Morten Ø. Nielsen, 2008. "A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic," Working Paper 1185, Economics Department, Queen's University.
- Morten Ørregaard Nielsen, 2008. "A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic," CREATES Research Papers 2008-36, Department of Economics and Business Economics, Aarhus University.
- Davidson, James & Hashimzade, Nigar, 2009.
"Representation And Weak Convergence Of Stochastic Integrals With Fractional Integrator Processes,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1589-1624, December.
- James Davidson & Nigar Hashimzade, 2007. "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," CREATES Research Papers 2007-45, Department of Economics and Business Economics, Aarhus University.
- James Davidson & Nigar Hashimzade, 2008. "Representation and Weak Convergence of Stochastic Integrals with Fractional Integrator Processes," Discussion Papers 0807, University of Exeter, Department of Economics.
- Jen-Je Su, 2003. "On the power of the multivariate KPSS test of stationarity against fractionally integrated alternatives," Applied Economics Letters, Taylor & Francis Journals, vol. 10(10), pages 637-641.
- Nankervis, John C. & Savin, N. E., 2010. "Testing for Serial Correlation: Generalized Andrews–Ploberger Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 246-255.
- Baillie, Richard T. & Kapetanios, George, 2007.
"Testing for Neglected Nonlinearity in Long-Memory Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 447-461, October.
- George Kapetanios, 2002. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 473, Queen Mary University of London, School of Economics and Finance.
- Richard T. Baillie & George Kapetanios, 2005. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 528, Queen Mary University of London, School of Economics and Finance.
- Richard T. Baillie & George Kapetanios, 2005. "Testing for Neglected Nonlinearity in Long Memory Models," Working Papers 528, Queen Mary University of London, School of Economics and Finance.
- Peter Reinhard Hansen & Allan Timmermann, 2015.
"Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics,"
Econometrica, Econometric Society, vol. 83, pages 2485-2505, November.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," Economics Working Papers ECO2012/24, European University Institute.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics," CREATES Research Papers 2012-45, Department of Economics and Business Economics, Aarhus University.
- Fabian Knorre & Martin Wagner & Maximilian Grupe, 2021.
"Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions,"
Econometrics, MDPI, vol. 9(1), pages 1-35, March.
- Knorre, Fabian & Wagner, Martin & Grupe, Maximilian, 2020. "Monitoring Cointegrating Polynomial Regressions: Theory and Application to the Environmental Kuznets Curves for Carbon and Sulfur Dioxide Emissions," IHS Working Paper Series 27, Institute for Advanced Studies.
- Boswijk, H. P. & Zu, Y., 2013. "Testing for Cointegration with Nonstationary Volatility," Working Papers 13/08, Department of Economics, City University London.
- Davidson, James & Hashimzade, Nigar, 2009.
"Type I and type II fractional Brownian motions: A reconsideration,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
- James Davidson & Nigar Hashimzade, 2008. "Type I and Type II Fractional Brownian Motions: a Reconsideration," Discussion Papers 0816, University of Exeter, Department of Economics.
- Papailias, Fotis & Fruet Dias, Gustavo, 2015. "Forecasting long memory series subject to structural change: A two-stage approach," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1056-1066.
- Hongshuai Dai, 2013. "Convergence in Law to Operator Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 26(3), pages 676-696, September.
- H. Peter Boswijk & Yang Zu, 2022.
"Adaptive Testing for Cointegration With Nonstationary Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(2), pages 744-755, April.
- Peter Boswijk & Yang Zu, 2019. "Adaptive Testing for Cointegration with Nonstationary Volatility," Tinbergen Institute Discussion Papers 19-043/III, Tinbergen Institute.
- Shawkat Hammoudeh & Walid Mensi & Jin Seo Cho, 2022.
"Spillovers between exchange rate pressure and CDS bid-ask spreads, reserve assets and oil prices using the quantile ARDL model,"
International Economics, CEPII research center, issue 170, pages 66-78.
- Hammoudeh, Shawkat & Mensi, Walid & Cho, Jin Seo, 2022. "Spillovers between exchange rate pressure and CDS bid-ask spreads, reserve assets and oil prices using the quantile ARDL model," International Economics, Elsevier, vol. 170(C), pages 66-78.
- Shawkat Hammoudeh & Walid Mensi & Jin Seo Cho, 2021. "Spillovers between Exchange Rate Pressure and CDS Bid-Ask Spreads, Reserve Assets and Oil Prices Using the Quantile ARDL Model," Working papers 2021rwp-191, Yonsei University, Yonsei Economics Research Institute.
- Mohamed Boutahar, 2006. "Limiting distribution of the least squaresestimates in polynomial regression with longmemory noises," Working Papers halshs-00409571, HAL.
- Lazar, Emese & Wang, Shixuan & Xue, Xiaohan, 2023. "Loss function-based change point detection in risk measures," European Journal of Operational Research, Elsevier, vol. 310(1), pages 415-431.
- Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation for Research in Economics, Yale University.
- Davidson, James & Sibbertsen, Philipp, 2005.
"Generating schemes for long memory processes: regimes, aggregation and linearity,"
Journal of Econometrics, Elsevier, vol. 128(2), pages 253-282, October.
- Davidson, James & Sibbertsen, Philipp, 2002. "Generating schemes for long memory processes: Regimes, aggregation and linearity," Technical Reports 2002,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Grigoriev, A. & Sviridenko, M. & Uetz, M.J., 2005. "Machine scheduling with resource dependent processing times," Research Memorandum 050, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Todd E. Clark & Michael W. McCracken, 2009.
"Combining Forecasts from Nested Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
- Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2007. "Combining forecasts from nested models," Finance and Economics Discussion Series 2007-43, Board of Governors of the Federal Reserve System (U.S.).
- Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis.
- Yuzo Hosoya, 2005. "Fractional Invariance Principle," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 463-486, May.
- Davidson, James, 2002. "Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 243-269, February.
- Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016.
"Weak Convergence To Stochastic Integrals For Econometric Applications,"
Econometric Theory, Cambridge University Press, vol. 32(6), pages 1349-1375, December.
- Hanying Liang & Peter C.B. Phillips & Hanchao Wang & Qiying Wang, 2014. "Weak Convergence to Stochastic Integrals for Econometric Applications," Cowles Foundation Discussion Papers 1971, Cowles Foundation for Research in Economics, Yale University.
- Lee, Ji Hyung, 2019. "Martingale decomposition and approximations for nonlinearly dependent processes," Statistics & Probability Letters, Elsevier, vol. 152(C), pages 35-42.
- Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
- George Kapetanios, 2004. "A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes," Working Papers 507, Queen Mary University of London, School of Economics and Finance.
- Peter Reinhard HANSEN & Allan TIMMERMANN, 2012.
"Choice of Sample Split in Out-of-Sample Forecast Evaluation,"
Economics Working Papers
ECO2012/10, European University Institute.
- Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers 2012-43, Department of Economics and Business Economics, Aarhus University.
- Richard T. Baillie & George Kapetanios, 2006.
"Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates,"
Working Papers
570, Queen Mary University of London, School of Economics and Finance.
- Richard T. Baillie & George Kapetanios, 2006. "Nonlinear Models with Strongly Dependent Processes and Applications to Forward Premia and Real Exchange Rates," Working Papers 570, Queen Mary University of London, School of Economics and Finance.
- Lavancier, Frédéric & Philippe, Anne & Surgailis, Donatas, 2009. "Covariance function of vector self-similar processes," Statistics & Probability Letters, Elsevier, vol. 79(23), pages 2415-2421, December.
- Choi, Chi-Young & Hu, Ling & Ogaki, Masao, 2008. "Robust estimation for structural spurious regressions and a Hausman-type cointegration test," Journal of Econometrics, Elsevier, vol. 142(1), pages 327-351, January.
- Zhanshou Chen & Yanting Xiao & Fuxiao Li, 2021. "Monitoring memory parameter change-points in long-memory time series," Empirical Economics, Springer, vol. 60(5), pages 2365-2389, May.
- Masao Ogaki & Ling Hu & Chi-Young Choi, 2004.
"A Spurious Regression Approach to Estimating Structural Parameters,"
Working Papers
04-01, Ohio State University, Department of Economics.
- Chi-Young Choi; Ling Hu; Masao Ogaki, 2004. "A Spurious Regression Approach to Estimating Structural Parameters," Econometric Society 2004 Far Eastern Meetings 555, Econometric Society.
- Chi-Young Choi & Ling Hu & Masao Ogaki, 2005. "Structural Spurious Regressions and A Hausman-type Cointegration Test," RCER Working Papers 517, University of Rochester - Center for Economic Research (RCER).
- Marc K. Chan & Simon S. Kwok, 2022.
"The PCDID Approach: Difference-in-Differences When Trends Are Potentially Unparallel and Stochastic,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1216-1233, June.
- Chan, Mark K. & Kwok, Simon, 2020. "The PCDID Approach: Difference-in-Differences when Trends are Potentially Unparallel and Stochastic," Working Papers 2020-03, University of Sydney, School of Economics.
- Jonathan Hill, 2012. "Dependence and stochastic limit theory (in Russian)," Quantile, Quantile, issue 10, pages 1-31, December.
- Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Philipp Sibbertsen, 2004.
"Long memory versus structural breaks: An overview,"
Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
- Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Bai, ChongEn & Li, Qi & Ouyang, Min, 2014. "Property taxes and home prices: A tale of two cities," Journal of Econometrics, Elsevier, vol. 180(1), pages 1-15.
- Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
- Davidson James E. H. & Peel David A & Byers J. David, 2006. "Support for Governments and Leaders: Fractional Cointegration Analysis of Poll Evidence from the UK, 1960-2004," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-23, March.
- Morten Ø. Nielsen, 2008.
"A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis,"
Working Paper
1175, Economics Department, Queen's University.
- Nielsen, Morten, 2008. "A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis," Working Papers 08-05, Cornell University, Center for Analytic Economics.
- Düker, Marie-Christine, 2020. "Limit theorems in the context of multivariate long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5394-5425.
- Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Vogelsang, Timothy J. & Wagner, Martin, 2014.
"Integrated modified OLS estimation and fixed-b inference for cointegrating regressions,"
Journal of Econometrics, Elsevier, vol. 178(2), pages 741-760.
- Vogelsang, Timothy J. & Wagner, Martin, 2011. "Integrated Modified OLS Estimation and Fixed-b Inference for Cointegrating Regressions," Economics Series 263, Institute for Advanced Studies.
- Kapetanios, G. & Pesaran, M. Hashem & Yamagata, T., 2011.
"Panels with non-stationary multifactor error structures,"
Journal of Econometrics, Elsevier, vol. 160(2), pages 326-348, February.
- Kapetanios, G. & Pesaran, M.H. & Yamagata, T., 2006. "Panels with Nonstationary Multifactor Error Structures," Cambridge Working Papers in Economics 0651, Faculty of Economics, University of Cambridge.
- G. Kapetanios & M. Hashem Pesaran & T. Yamagata, 2010. "Panels with nonstationary multifactor error structures," Post-Print hal-00768190, HAL.
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
- Kapetanios, George & Pesaran, M. Hashem & Yamagata, Takashi, 2006. "Panels with Nonstationary Multifactor Error Structures," IZA Discussion Papers 2243, Institute of Labor Economics (IZA).
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," CESifo Working Paper Series 1788, CESifo.
- George Kapetanios & M. Hashem Pesaran & Takashi Yamagata, 2006. "Panels with Nonstationary Multifactor Error Structures," Working Papers 569, Queen Mary University of London, School of Economics and Finance.
- Calhoun, Gray, 2014. "Block Bootstrap Consistency Under Weak Assumptions," Staff General Research Papers Archive 34313, Iowa State University, Department of Economics.
- Zhengyan Lin & Hanchao Wang, 2016. "On Convergence to Stochastic Integrals," Journal of Theoretical Probability, Springer, vol. 29(3), pages 717-736, September.
- Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
- George Kapetanios, 2004.
"A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes,"
Working Papers
507, Queen Mary University of London, School of Economics and Finance.
- George Kapetanios, 2004. "A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes," Working Papers 507, Queen Mary University of London, School of Economics and Finance.
- Wensheng Wang, 2024. "The Moduli of Continuity for Operator Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 37(3), pages 2097-2120, September.
- Sun, Yiguo & Hsiao, Cheng & Li, Qi, 2011. "Measuring correlations of integrated but not cointegrated variables: A semiparametric approach," Journal of Econometrics, Elsevier, vol. 164(2), pages 252-267, October.
- Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
- Haldrup, Niels & Vera Valdés, J. Eduardo, 2017.
"Long memory, fractional integration, and cross-sectional aggregation,"
Journal of Econometrics, Elsevier, vol. 199(1), pages 1-11.
- Niels Haldrup & J. Eduardo Vera-Valdés, 2015. "Long Memory, Fractional Integration, and Cross-Sectional Aggregation," CREATES Research Papers 2015-59, Department of Economics and Business Economics, Aarhus University.
- Politis, Dimitris, 2016. "HEGY test under seasonal heterogeneity," University of California at San Diego, Economics Working Paper Series qt2q4054kf, Department of Economics, UC San Diego.
- Johansen, Søren & Ørregaard Nielsen, Morten, 2012.
"A Necessary Moment Condition For The Fractional Functional Central Limit Theorem,"
Econometric Theory, Cambridge University Press, vol. 28(3), pages 671-679, June.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "A Necessary Moment Condition for the Fractional Functional Central Limit Theorem," Discussion Papers 10-29, University of Copenhagen. Department of Economics.
- Morten Ø. Nielsen & S Johansen, 2010. "A Necessary Moment Condition For The Fractional Functional Central Limit Theorem," Working Paper 1244, Economics Department, Queen's University.
- Søren Johansen & Morten Ørregaard Nielsen, 2010. "A necessary moment condition for the fractional functional central limit theorem," CREATES Research Papers 2010-70, Department of Economics and Business Economics, Aarhus University.
- Zhang, Rongmao & Chan, Ngai Hang, 2018. "Portmanteau-type tests for unit-root and cointegration," Journal of Econometrics, Elsevier, vol. 207(2), pages 307-324.
- Yang, Lixiong & Lee, Chingnun & Shie, Fu Shuen, 2014. "How close a relationship does a capital market have with other markets? A reexamination based on the equal variance test," Pacific-Basin Finance Journal, Elsevier, vol. 26(C), pages 198-226.
- Qiu, Jin & Lin, Zhengyan, 2006. "The variance of partial sums of strong near-epoch dependent variables," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1845-1854, November.
- 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.
- Heinen, Florian & Willert, Juliane, 2011. "Monitoring a change in persistence of a long range dependent time series," Hannover Economic Papers (HEP) dp-479, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Davidson, James, 2006. "Alternative bootstrap procedures for testing cointegration in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 741-777, August.
- Pavel Yaskov, 2010. "Testing for predictive ability in the presence of structural breaks (in Russian)," Quantile, Quantile, issue 8, pages 127-135, July.
- Carlos Velasco, 2003. "Gaussian Semi‐parametric Estimation of Fractional Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 345-378, May.