Efficient inference in multivariate fractionally integrated time series models-Reference-Cited by-同舟云学术

Efficient inference in multivariate fractionally integrated time series models

Published:2004-06-01 Issue:1 Volume:7 Page:63-97
ISSN:1368-4221
Container-title:The Econometrics Journal
language:en
Short-container-title:

Author:

Nielsen Morten Ørregaard¹

Affiliation:

1. Department of Economics, Cornell University, Ithaca, NY, USA

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Link

http://academic.oup.com/ectj/article-pdf/7/1/63/25973182/ectj0063.pdf

Reference28 articles.

1. Lagrange multiplier tests for fractional difference;Agiakloglou;Journal of Time Series Analysis,1994

2. Maximum likelihood estimation of the differencing parameter for invertible short and long memory autoregressive integrated moving average models;Beran;Journal of the Royal Statistical Society Series B,1995

3. Inference on the cointegration rank in fractionally integrated processes;Breitung;Journal of Econometrics,2002

4. Testing the null of stationarity for multiple time series;Choi;Journal of Econometrics,1999

5. A fractional Dickey‐Fuller test for unit roots;Dolado;Econometrica,2002

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